Victor DeMiguel
@VictorDeMiguel2
Professor @LBS interested in portfolio management and asset pricing with estimation error and transaction costs
If you're one of those who think that the US' exorbitant privilege is really a burden, give the Chancellor of the Exchequer a call.
UK 30yr gilt yields soaaaaaaaaring
Short @LBS video about "Machine Learning and Fund Characteristics Help to Select Mutual Funds with Positive Alpha," published at @J_Fin_Economics with @JGilBazo, @fjnogales, @AndrePortelaSa1. youtu.be/0-yZiSGnBrk?si… via @YouTube
We are accepting applications for a postdoctoral position at London Business School: london.edu/faculty-and-re…
Submission deadline approaching! Deadline for submission: February 1, 2025 at midnight Standard Pacific Time.
I am excited about the relaunch of our Executive MBA programme: youtu.be/u9l-ykSke-A?si… via @YouTube
The AI-generated podcast for our paper "A Multifactor Perspective on Volatility-Managed Portfolios" with @MartinUtrera and @RamanUppalProf is surprisingly good: notebooklm.google.com/notebook/0d189…
"A Multifactor Perspective on Volatility‐Managed Portfolios" with @MartinUtrera & @RamanUppalProf: onlinelibrary.wiley.com/doi/10.1111/jo… Multifactor portfolio whose factor weights vary with market volatility and accounts for trading costs outperforms benchmark out-of-sample and net of costs.
I am looking forward to my seminar at CUNEF Universidad in Madrid tomorrow
New Seminars! 29/10/2024 - "Do the Trades and Holdings of Market Participants Contain Information About Stocks? A Machine-Learning Approach", with @VictorDeMiguel2 20/10/2024 - "Harmonic Maps Into The Sphere: How Bad Can They Be?", with Antoine Detaille #CUNEFReserch
"A Multifactor Perspective on Volatility‐Managed Portfolios" with @MartinUtrera & @RamanUppalProf: onlinelibrary.wiley.com/doi/10.1111/jo… Multifactor portfolio whose factor weights vary with market volatility and accounts for trading costs outperforms benchmark out-of-sample and net of costs.
Touching account of her @LBS experience from first-generation MBS student Divya. Breaking The Glass Ceiling: An Indian First-Generation Student’s Path To London Business School poetsandquants.com/2024/10/03/bre… via @PoetsAndQuants
Impressive how fast and efficient was the production process for our paper at @J_Fin_Economics. "Comparing factor models with price-impact costs" with @allen_lisicong and @MartinUtrera now in print: sciencedirect.com/science/articl…
Comparing Factor Models with Price-Impact Costs, with @allen_lisicong and @MartinUtrera, accepted (pending uploads) to @J_Fin_Economics. Grateful to editor @NickRoussanov and an outstanding referee who helped us greatly improve our empirical contribution: papers.ssrn.com/sol3/papers.cf…
When you cite a paper from 1688 and it makes into the official @EFA_org photostream: flic.kr/p/2qbET9f
Comparing Factor Models with Price-Impact Costs, with @allen_lisicong and @MartinUtrera, accepted (pending uploads) to @J_Fin_Economics. Grateful to editor @NickRoussanov and an outstanding referee who helped us greatly improve our empirical contribution: papers.ssrn.com/sol3/papers.cf…
Congratulations @aedmans and @EliasPapaioann2 on your appointment as Fellows of the British Academy!
Thanks for your wishes for my name day; thanks to the @BritishAcademy_ for the incredible honor to join; and thanks to @JoeBiden for showing humility, courage, patriotism and decency. The British Academy welcomes 86 new Fellows in 2024 thebritishacademy.ac.uk/news/the-briti…
This is a condensed version of my Journal of Economic Perspectives piece with David and Jonathan. A number of journals link to this checklist in their referee invite emails. I agree the culture must change. papers.ssrn.com/sol3/papers.cf…
Very insightful book presentation by @aedmans at @Wheeler_LBS! "May Contain Lies" is a deep dive into the world of misinformation and personal biases. Now I can't even trust my own grocery list...
@AngelaZhangHK
“The only credible way to address GPT-4o’s externality problem is for regulators to limit AI firms’ ability to collect and use the data their users share.” LBS’s @AlexSYang talks to @ProSyn about the high cost of GPT-40. ow.ly/5gn250ScP2r
Good reminder to not take your career too too seriously.
Wow. (It's not clear that the boost to downstream outcomes like flyouts could hold in long-run equilibrium, or that added visibility really is the mechanism driving it. But still, pretty striking, QED!)
Financial Statement Analysis with Large Language Models This paper feeds financial statements to GPT-4 and finds that it outperforms financial analysts in predicting the sign of earnings changes. Interestingly, this is achieved despite only feeding GPT-4 with numbers, leaving…
We are delighted to announce that London Business School's Executive Education is ranked in the top three globally, by the @FT. Read more here: ow.ly/m5Np50RMSj8 #ExecutiveEducation #LBSExecEd #WhyILoveLBS