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Alberto Martín-Utrera
Alberto Martín-Utrera
Dirección de correo verificada de iastate.edu - Página principal
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A Transaction-Cost Perspective on the Multitude of Firm Characteristics
V DeMiguel, A Martin-Utrera, FJ Nogales, R Uppal
The Review of Financial Studies 33 (5), 2180–2222, 2020
223*2020
Size matters: Optimal calibration of shrinkage estimators for portfolio selection
V DeMiguel, A Martin-Utrera, FJ Nogales
Journal of Banking & Finance 37 (8), 3018-3034, 2013
1792013
Parameter Uncertainty in Multiperiod Portfolio Optimization with Transaction Costs
V DeMiguel, A Martín-Utrera, FJ Nogales
Journal of Financial and Quantitative Analysis, 2015
652015
Can Competition Increase Profits in Factor Investing?
V DeMiguel, A Martin Utrera, R Uppal
15*2019
A Multifactor Perspective on Volatility-Managed Portfolios
V DeMiguel, A Martın-Utrera, R Uppal
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3982504, 2021
112021
Comparing Factor Models with Price-Impact Costs
SA Li, V DeMiguel, A Martin-Utrera
London Business School Working Paper, 2020
10*2020
The Risk of Expected Utility under Parameter Uncertainty
N Lassance, A Martin-Utrera, M Simaan
Management Science. Forthcoming, 0
10*
Sentiment-Based Portfolios
N Lassance, A Martin-Utrera
SSRN Working Paper, 2020
4*2020
Shrinking against sentiment: Exploiting latent asset demand in portfolio selection
N Lassance, A Martin-Utrera
Available at SSRN 3551224, 2023
12023
Investor Behavior, Sentiment and Macroeconomic Announcements
A Martin-Utrera
12018
Do Limits to Arbitrage Explain Portfolio Gains from Asset Mispricing?
N Lassance, A Martin-Utrera
Available at SSRN, 2024
2024
Transaction Cost–Optimized Equity Factors around the World
F Bašić, H Lohre, A Martín-Utrera, I Nolte, S Nolte
The Journal of Portfolio Management, 2024
2024
The risk of falling short: Implementation Shortfall variance in portfolio construction
F Basic, A Martin-Utrera, I Nolte
Sandra, The risk of falling short: Implementation Shortfall variance in …, 2022
2022
What Alleviates Crowding in Factor Investing?
R Uppal, V DeMiguel, A Martin-Utrera
CEPR Discussion Papers, 2021
2021
Fifty Ways to Beat the Benchmark? Designing Optimally-Diversified Smart Beta ETFs
V DeMiguel, A Martın-Utrera, FJ Nogales, R Uppal
2017
Fifty Ways to Beat the Market? A Portfolio Perspective on Investment Anomalies
V DeMiguel, A Martın-Utrera, FJ Nogales, R Uppal
2016
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Artículos 1–16