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I'm an Associate Professor of Finance at Iowa State University. If you'd like to learn more about my academic profile, you can find it here in my resume.
Publications
A Conditional Shrinkage Method for Portfolio Selection, with Nathan Lassance. Review of Finance. Accepted.
Can Competition Increase Profits in Factor Investing?, with Victor DeMiguel and Raman Uppal. Management Science, 71(7), 5552--5571, (2025)
A Multifactor Perspective on Volatility-Managed Portfolios, with Victor DeMiguel and Raman Uppal. The Journal of Finance, 79(6), 3859--3891, (2024).
Comparing Factor Models with Price-Impact Costs, with Sicong (Allen) Li and Victor DeMiguel. Journal of Financial Economics, 162, 1--26, (2024).
The Risk of Expected Utility under Parameter Uncertainty, with Nathan Lassance and Majeed Simaan. Management Science, 70(11):7644--7663, (2024).
Transaction Cost-Optimized Equity Factors Around the World, with Filip Basic, Harald Lohre, Ingmar Nolte and Sandra Nolte. The Journal of Portfolio Management, 50 (6), 40--73, (2024).
A Transaction-Cost Perspective on the Multitude of Firm Characteristics, with V. DeMiguel, F. J. Nogales, and R. Uppal. The Review of Financial Studies, 33(5), 2180--2222 (2020).
Parameter Uncertainty in Multiperiod Portfolio Optimization with Transaction Costs, with V. DeMiguel and F. J. Nogales, Journal of Financial and Quantitative Analysis, Vol. 50, No. 6, (2015)
Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection, with V. DeMiguel and F. J. Nogales, Journal of Banking and Finance, 37(8), pp. 3018--3034 (2013)
Working papers
Rethinking Mutual Fund Performance: From Traditional Alpha to Achievable Alpha, with Victor DeMiguel and Raman Uppal.
Scheduled presentations: Duke/UNC Asset Pricing Conference, University of Toronto Asset Pricing and Investment Workshop, ESADE Spring Workshop, WFA, EFA, Jacobs Levy Equity Management Center for Quantitative, AFA.
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