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Victor DeMiguel · Study
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Author
Victor DeMiguel
20 works
· latest 2024
· 1 institutions
cluster: provisional
ORCID 0000-0002-7787-5185
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Citations
6,492
Works here
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Most cited in this library
Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?
2007 · 3,193 citations
A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
2009 · 1,040 citations
Portfolio Selection With Robust Estimation
2007 · 326 citations
Optimal versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?
2011 · 287 citations
Improving Portfolio Selection Using Option-Implied Volatility and Skewness
2013 · 218 citations
Works
20 shown
A Multifactor Perspective on Volatility‐Managed Portfolios
The Journal of Finance
·
2024
·
3 authors
·
Open access
61
citations
Machine learning and fund characteristics help to select mutual funds with positive alpha
Journal of Financial Economics
·
2023
·
4 authors
·
Open access
115
citations
A Transaction-Cost Perspective on the Multitude of Firm Characteristics
Review of Financial Studies
·
2019
·
4 authors
·
Open access
183
citations
Technical Note—A Robust Perspective on Transaction Costs in Portfolio Optimization
Operations Research
·
2018
·
2 authors
·
Open access
83
citations
Wholesale Price Contracts for Reliable Supply
Production and Operations Management
·
2018
·
3 authors
·
Open access
51
citations
A Portfolio Perspective on the Multitude of Firm Characteristics
SSRN Electronic Journal
·
2017
·
4 authors
·
preprint
·
Open access
38
citations
Multiperiod portfolio optimization with multiple risky assets and general transaction costs
Journal of Banking & Finance
·
2016
·
3 authors
·
Open access
55
citations
Parameter Uncertainty in Multiperiod Portfolio Optimization with Transaction Costs
Journal of Financial and Quantitative Analysis
·
2015
·
3 authors
54
citations
Supplier Capacity and Intermediary Profits: Can Less Be More?
Production and Operations Management
·
2015
·
3 authors
·
Open access
20
citations
Stock Return Serial Dependence and Out-of-Sample Portfolio Performance
Review of Financial Studies
·
2014
·
3 authors
·
Open access
154
citations
Improving Portfolio Selection Using Option-Implied Volatility and Skewness
Journal of Financial and Quantitative Analysis
·
2013
·
4 authors
218
citations
Improving Portfolio Selection Using Option-Implied Volatility and Skewness
SSRN Electronic Journal
·
2011
·
4 authors
·
preprint
·
Open access
88
citations
Optimal versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?
Oxford University Press eBooks
·
2011
·
3 authors
·
chapter
287
citations
Supply Chain Competition with Multiple Manufacturers and Retailers
Operations Research
·
2011
·
2 authors
132
citations
Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection
Journal of Banking & Finance
·
2011
·
3 authors
·
Open access
152
citations
A Stochastic Multiple-Leader Stackelberg Model: Analysis, Computation, and Application
Operations Research
·
2009
·
2 authors
171
citations
A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
Management Science
·
2009
·
4 authors
1,040
citations
Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?
Review of Financial Studies
·
2007
·
3 authors
3,193
citations
Portfolio Selection With Robust Estimation
Operations Research
·
2007
·
2 authors
·
Open access
326
citations
Portfolio Investment with the Exact Tax Basis via Nonlinear Programming
Management Science
·
2005
·
2 authors
·
Open access
71
citations