Victor DeMiguel

Contact information 

London Business School 

E-mail: avmiguel@london.edu

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My research focuses on using machine learning and artificial intelligence for portfolio optimization and asset pricing, particularly in the presence of parameter uncertainty and market frictions. I serve as an Associate Editor of Management Science and Operations Research and a consultant for several asset-management firms. 

Working papers

Legislator Tweets About the Green Transition and the Returns of Green Versus Brown Stocks, with J. Gil-Bazo and Milind Goel, LBS working paper (2025).  (Manuscript).

Rethinking Mutual Fund Performance Evaluation: From Traditional Alpha to Achievable Alpha, with A. Martin-Utrera and R. Uppal, LBS working paper (2024).  (Manuscript).

Do Trades and Holdings of Market Participants Contain Information About Stocks? A Machine-Learning Approach, with L. Guo, B. Sang, and Z. Zhang, LBS working paper (2024). Presented at UWFC, accepted to SFS Cavalcade. (Manuscript).

Asset-Pricing Factors with Economic Targets, with S. Bryzgalova, Sicong Li, and M. Pelger, LBS working paper (2023). (Manuscript). Winner of the Bates-White Best Paper Award at the 2023 SoFiE Conference, Winner of the 2023 INFORMS Finance Student Paper Award, presented at AFA, WFA, EFA.

Publications

Can Competition Increase Profits in Factor Investing? with A. Martin-Utrera and R. Uppal, Management Science, 71(7), 5552--5571, (2025). (Manuscript,  code).

A Multifactor Perspective on Volatility-Managed Portfolios, with A. Martin-Utrera and R. Uppal, The Journal of Finance, 79(6), 3859--3891, (2024). (Manuscript,  AI podcast,  code). 

Comparing Factor Models with Price-Impact Costs, with Sicong Li and A. Martin-Utrera, The Journal of Financial Economics, 162, 1--26, (2024). (Manuscript,  code). 

Machine Learning and Fund Characteristics Help to Select Mutual Funds with Positive Alpha, with J. Gil-Bazo, F.J. Nogales, and A.A.P. Santos, The Journal of Financial Economics, 150(3), 1--22, (2023). (Manuscript,  short video,  code). 

Optimal Portfolio Diversification via Independent Component Analysis, with N. Lassance and F. Vrins, Operations Research, 70(1), 55--72, (2022). (Manuscript). 

Cover-Up of Vehicle Defects: The Role of Regulator Investigation Announcements, with S.-H Cho and W. Hwang. Management Science, 67(6), 3834–3852 (2021). (Manuscript).

A Transaction-Cost Perspective on the Multitude of Firm Characteristics, with A. Martin-Utrera, F.J. Nogales, and R. Uppal, The Review of Financial Studies, 33(5), 2180--2222 (2020). (Manuscript). 

Technical Note—A  Robust Perspective on Transaction Costs in Portfolio Optimization, with A.V. Olivares-Nadal, Operations Research, 66(3), 733--739, (2018). (Manuscript)

Wholesale Price Contracts for Reliable Supply, with W. Hwang and N. Bakshi, Production and Operations Management, 27(6), 1021--1037 (2018). (Manuscript).

Multiperiod Portfolio Optimization with Multiple Risky Assets and General Transaction Costs, with X. Mei and F.J. Nogales, Journal of Banking and Finance, 69, 108--120 (2016). (Manuscript).

Supplier Capacity and Intermediary Profits: Can Less Be More?, with E. Adida and N. Bakshi, Production and Operations Management, 25(4), 630--646 (2016). (Manuscript, appendix).

Parameter Uncertainty in Multiperiod Portfolio Optimization with Transaction Costs, with A. Martin-Utrera and F.J. Nogales,  Journal of Financial and Quantitative Analysis, 50(6), 1443--1471 (2015). (Manuscript).

Stock Return Serial Dependence and Out-of-Sample Portfolio Performance, with F.J. Nogales and R. Uppal, The Review of Financial Studies, 27(4), 1031--1073 (2014). (Manuscript, appendix).

Improving Portfolio Selection Using Option-Implied Volatility and Skewness, with Y. Plyakha, R. Uppal, and G. Vilkov,  Journal of Financial and Quantitative Analysis, 48(6), 1813--1845 (2013). (Manuscript).

Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection, with A. Martin-Utrera and F.J. Nogales, Journal of Banking and Finance, 37(8), 3018--3034 (2013). (Manuscript).

Supply Chain Competition with Multiple Manufacturers and Retailers, with E. Adida. Operations Research, 59(1), 156--172 (2011). (Manuscript, appendix).

A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms, with L. Garlappi, F.J. Nogales, and R. Uppal, Management Science, 55(5), 798—812 (2009). (Manuscript, appendix).

Portfolio Selection with Robust Estimation, with F.J. Nogales, Operations Research, 57(3), 560—577 (2009). (Manuscript, appendix).

Optimal versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?, with L. Garlappi and R. Uppal. The Review of Financial Studies 22(5), 1915--1953 (2009). (Manuscript, appendix, code).

A Stochastic Multiple Leader Stackelberg Model: Analysis, Computation, and Application, with H. Xu, Operations Research, 57(5), 1220—1235 (2009). (Manuscript, appendix).

On Decomposition Methods for a Class of Partially Separable Nonlinear Programs, with F.J. Nogales. Mathematics of Operations Research, 33(1), 119—139 (2008). (Manuscript).

A Local Convergence Analysis of Bilevel Decomposition Algorithms, with W. Murray, Optimization and Engineering, 7, 99—133 (2006). (Manuscript).

Portfolio Investment with the Exact Tax Basis via Nonlinear Programming, with R. Uppal, Management Science, 51(2), 277—290 (2005).  (Manuscript).

A Two-Sided Relaxation Scheme for Mathematical Programs with Equilibrium Constraints, with M.P. Friedlander, F.J. Nogales, and S. Scholtes, SIAM Journal on Optimization, 16(2), 587—609 (2005). (Manuscript).

Permanent working papers

What Multistage Stochastic Programming Can Do for Network Revenue Management, with N. Mishra. LBS working paper, (2008). (Manuscript).

Revenue Management With Correlated Demand Forecasting, with K. Fridgeirsdottir, C. Stefanescu, and S. Zenios. 2004 Proceedings of the American Statistical Association , Business and Economics Statistics Section, Alexandria, VA: American Statistical Association. (Manuscript)

Two Decomposition Algorithms for Nonconvex Optimization Problems with Global Variables. Ph.D. thesis, Stanford University, (2001). (Thesis)

A Class of Quadratic Programming Test Problems with Global Variables, with W. Murray. Technical Report SOL 01-2, Dept. of MS&E, Stanford University, (2001). (Manuscript)

Generating Optimization Problems with Global Variables, with W. Murray. Technical Report SOL 01-3, Dept. of MS&E, Stanford University, (2001). (Manuscript)    

An Analysis of Collaborative Optimization Methods, with W. Murray. Eight AIAA/USAF/NASA/ISSMO Symposium on Multidisciplinary Analysis and Optimization, (2000).  (Manuscript)

Other

Obituary to Angel Victor de Miguel Rodriguez, (2008). (Obituary)