Zobrazeno 1 - 10
of 258
pro vyhledávání: '"Victor DeMiguel"'
Publikováno v:
Operations Research, Vol. 70, no. 1, p. 55-72 (2022)
A natural approach to enhance portfolio diversification is to rely on factor-risk parity, which yields the portfolio whose risk is equally spread among a set of uncorrelated factors. The standard choice is to take the variance as risk measure, and th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::54593c16dca78bcdf4ef143f752ead0b
https://doi.org/10.1287/opre.2021.2140
https://doi.org/10.1287/opre.2021.2140
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9cd65686b7acf16ccb1abcfc134790df
https://doi.org/10.2139/ssrn.4344837
https://doi.org/10.2139/ssrn.4344837
Publikováno v:
SSRN Electronic Journal.
Identifying outperforming mutual funds ex-ante is a notoriously difficult task. We use machine learning to exploit fund characteristics and construct portfolios of equity funds that earn positive and significant out-of-sample alpha net of all costs.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8b203e20577a2c76e0939ae84679fbc2
https://doi.org/10.2139/ssrn.3768753
https://doi.org/10.2139/ssrn.3768753
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6873d779a7b9295996102d75f9b48678
https://doi.org/10.2139/ssrn.3982504
https://doi.org/10.2139/ssrn.3982504
Publikováno v:
SSRN Electronic Journal.
We show that the squared Sharpe ratio criterion considered by Barillas and Shanken (2017) is no longer appropriate to compare factor models in the presence of price-impact costs. Instead, we propose comparing factor models in terms of their mean-vari
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a300de512c17839020c5399a03a78e31
https://doi.org/10.2139/ssrn.3688484
https://doi.org/10.2139/ssrn.3688484
Publikováno v:
Operations Research. 66:733-739
We prove that the portfolio problem with transaction costs is equivalent to three different problems designed to alleviate the impact of estimation error: a robust portfolio optimization problem, a regularized regression problem, and a Bayesian portf
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::09685ad017769542953385fc2751a251
https://doi.org/10.1287/opre.2017.1699
https://doi.org/10.1287/opre.2017.1699
Publikováno v:
Production and Operations Management. 27:1021-1037
Firms can enhance the reliability of their supply through process improvement and overproduction. In decentralized supply chains, however, these mitigating actions may be the supplier's responsibility yet are often not contractible. We show that whol
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::718208f0e9402720275e397a5fd019a6
https://doi.org/10.1111/poms.12848
https://doi.org/10.1111/poms.12848
Publikováno v:
SSRN Electronic Journal.
The growing number of institutions exploiting factor-investing strategies raises concerns that crowding may increase price-impact costs and erode profits. We identify a mechanism that alleviates crowding -- trading diversification: institutions explo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::04cebffdc8960a32ad533ee7bc990f12
https://doi.org/10.2139/ssrn.3392875
https://doi.org/10.2139/ssrn.3392875
Automakers, including Toyota and General Motors, were recently caught by the U.S. regulator for deliberately hiding product defects in an attempt to avoid massive recalls. Interestingly, regulators in the United States and United Kingdom employ diffe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2fdc93c81df778811e9e8e5d7887fa8f
https://hal-hec.archives-ouvertes.fr/hal-01933844
https://hal-hec.archives-ouvertes.fr/hal-01933844
Publikováno v:
Adida, E; Bakshi, N; & Demiguel, V. (2016). Supplier Capacity and Intermediary Profits: Can Less Be More?. Production and Operations Management, 25(4), 630-646. doi: 10.1111/poms.12429. UC Riverside: Retrieved from: http://www.escholarship.org/uc/item/9tr7t1wc
Production and Operations Management, vol 25, iss 4
Production and Operations Management, vol 25, iss 4
© 2015 Production and Operations Management Society. We identify market conditions under which intermediaries can thrive in retailer-driven supply chains. Our main finding is that, as a consequence of the retailers' leadership position, intermediari
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::83d73f2a54811b59651c9a05db569b39
https://doi.org/10.1111/poms.12429
https://doi.org/10.1111/poms.12429