On decomposition methods for a class of partially separable nonlinear programs

von DeMiguel, Victor
Veröffentlicht in Mathematics of operations research (2008)

Portfolio selection with proportional transaction costs and predictability

von Mei, Xiaoling
Veröffentlicht in Journal of banking & finance (2018)

Solving dynamic stochastic economic models by mathematical programming decomposition methods

von Esteban-Bravo, Mercedes
Veröffentlicht in Computers & operations research (2008)

Stock return serial dependence and out-of-sample portfolio performance

von DeMiguel, Victor
Veröffentlicht 2013

A randomized granular tabu search heuristic for the split delivery routing problem

von Berbetto, Leonardo
Veröffentlicht in ORP3 Conference (5. : 2011 : Cádiz) ORP 3 - OR for young researchers and practitioners (2014)

Multiperiod portfolio optimization with multiple risky assets and general transaction costs

von Mei, Xiaoling
Veröffentlicht in Journal of banking & finance (2016)

Stock return serial dependence and out-of-sample portfolio performance

von DeMiguel, Victor
Veröffentlicht in The review of financial studies (2014)

Size matters : optimal calibration of shrinkage estimators for portfolio selection

von DeMiguel, Victor
Veröffentlicht in Journal of banking & finance (2013)

Parameter uncertainty in multiperiod portfolio optimization with transaction costs

von DeMiguel, Victor
Veröffentlicht in Journal of financial and quantitative analysis (2015)

Comparing univariate and multivariate models to forecast portfolio value-at-risk

von Santos, André A. P.
Veröffentlicht in Journal of financial econometrics (2013)

A generalized approach to portfolio optimization : improving performance by constraining portfolio norms

Veröffentlicht in Management science (2009)

A portfolio perspective on the multitude of firm characteristics

von DeMiguel, Victor
Veröffentlicht 012017

Machine learning and fund characteristics help to select mutual funds with positive alpha

von DeMiguel, Victor
Veröffentlicht in Journal of financial economics (2023)

Optimal portfolios with minimum capital requirements

Veröffentlicht in Journal of banking & finance (2012)

Combining multivariate volatility forecasts: an economic-based approach

von Caldeira, João F.
Veröffentlicht in Journal of financial econometrics (2017)