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Victor DeMiguel

Professor of Management Science and Operations; Chair, Management Science and Operations Faculty


MSc (Madrid), MSc and PhD (Stanford)

Professor Victor DeMiguel’s research focuses on the design, analysis, and application of equity portfolio strategies in the presence of taxes, transaction costs, and parameter uncertainty.


He teaches MBA courses on Business and Financial Analytics as well as the Strategic Decision Making module for the Advanced Development Programme of Executive Education. He is the recipient of the Junior Faculty Teaching Award for 2003/2004 and the Outstanding Core Course Teaching Award for 2008/2009 at London Business School.


Professor DeMiguel’s papers have been published in most of the top journals of his field, including Management Science and Operations Research. One of his most popular papers received the Best Paper Award from the Institute for Quantitative Investment Research and was published in The Review of Financial Studies.


Professor DeMiguel is a regular speaker at academic and practitioner conferences on quantitative investment management and he has consulted for several companies, including ENDESA, Iberdrola, and McKinsey & Company. He is a member of the editorial board of Operations Research.

2018

Technical note: a robust perspective on transaction costs in portfolio optimization

Olivares-Nadal A V; DeMiguel V

Operations Research 2018 Vol 66:3 p 733-739

Wholesale price contracts for reliable supply

DeMiquel V; Hwang W; Bakshi N

Production and Operations Management 2018 Vol 27:6 p 1021-1037

2016

Multiperiod portfolio optimization with multiple risky assets and general transaction costs

Mei X; DeMiguel V; Nogales F

Journal of Banking and Finance 2016 Vol 69:August p 108-120

Supplier capacity and intermediary profits: can less be more?

DeMiguel V; Adida E; Bakshi N

Production and Operations Management 2016 Vol 25:4 p 630-646

2015

Parameter uncertainty in multiperiod portfolio optimization with transaction costs

DeMiguel V; Martin-Utrera A; Nogales F J

Journal of Financial and Quantitative Analysis 2015 Vol 50:6 p 1443-1471

2014

Stock return serial dependence and out-of-sample portfolio

DeMiguel V; Nogales F J; Uppal R

Review of Financial Studies 2014 Vol 27:4 p 1031-1073

2013

Improving portfolio selection using option-implied volatility and skewness

De Miguel V; Plyakha Y; Uppal R; Vilkov G

Journal of Financial and Quantitative Analysis 2013 Vol 48:6 p 1813-1845

Size matters: Optimal calibration of shrinkage estimators for portfolio selection

DeMiguel V; Martin-Utrera A; Nogales F J

Journal of Banking and Finance 2013 Vol 37:8 p 3018-3034

2011

Supply chain competition with multiple manufacturers and retailers

DeMiguel V; Adida E

Operations Research 2011 Vol 59:1 p 156-172

2009

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

DeMiguel V; Garlappi L; Nogales F J; Uppal R

Management Science 2009 Vol 55:5 p 798-812

A stochastic multiple leader Stackelberg model: Analysis, computation, and application

DeMiguel V; Xu H

Operations Research 2009 Vol 57:5 p 1220-1235

Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy?

DeMiguel V; Garlappi L; Uppal R

Review of Financial Studies 2009 Vol 22:5 p 1915-1953

Portfolio selection with robust estimation

DeMiguel V; Nogales F J

Operations Research 2009 Vol 57:3 p 560-577

2008

On decomposition methods for a class of partially seperable nonlinear programs

De Miguel V; Nogales F J

Mathematics of Operations Research 2008 Vol 33:1 p 119-139

2006

A local convergence analysis of bilevel decomposition algorithms

DeMiguel V; Murray W

Optimization and Engineering 2006 Vol 7:2 p 99-133

A two-sided relaxation scheme for mathematical programs with equilibrium constraints.

DeMiguel V; et al.

SIAM Journal on Optimization 2006 Vol 16:2 p 587-609

Portfolio investment with the exact tax basis via nonlinear programming

DeMiguel V; Uppal R

Management Science 2006 Vol 51:2 p 277-290

2004

Revenue management with correlated demand forecasting

DeMiguel V; Fridgeirsdottir K; Stefanescu C; et al.

in Proceedings of the American Statistical Association, Business and Economics Statistics Section, Alexandria, VA, 2004

2001

Class of quadratic programming rest problems with global variables

DeMiguel V; Murray W

Technical report SOL 01-2 Dept of MS&E, Stanford University, 2001

Two decomposition algorithms for nonconvex optimization problems with global variables

DeMiguel V; Murray W

Technical report SOL 01-1, Dept of MS&E, Stanford University, 2001

2000

An analysis of collaborative optimization methods

DeMiguel V; Murray W

in Proceedings of the Eighth AIAA/USAF/NASA/ISSMO Symposium on Multidisciplinary Analysis and Optimization, 2000

2018

Cover-Up of vehicle defects: the role of regulator investigation announcements

Cho S-H; DeMiguel V; Hwang W

HEC Paris Research Paper

2017

A portfolio perspective on the multitude of firm characteristics

DeMiquel V; Martin-Utrera A; Nogales FJ; Uppal R

Social Sciences Research Network

2015

Simple contracts for reliable supply

Bakshi N; Hwang W; DeMiguel V

None

2006

What multistage stochastic programming can do for network revenue management

DeMiguel V; Mishra N

Decision Sciences Working Paper

Research Interests

  • Optimisation
  • Portfolio optimisation
  • Competition