Stock Return Serial Dependence and Out-of-Sample Portfolio Performance

By Victor DeMiguel, Francisco Javier Nogales, Raman Uppal. 2014

130 citations recorded by the source corpus.

Subfields: Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/4b6a5cb549bda01b22599a5c5056f97a21f1497a

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Lasse Heje Pedersen
2. Raman Uppal
3. Yao Hua Ooi
4. Tobias J. Moskowitz
5. Yuliya Plyakha
6. Grigory Vilkov
7. Saejoon Kim
8. Avanidhar Subrahmanyam

In Strategy and Management

1. Raman Uppal
2. Yuliya Plyakha
3. Tobias J. Moskowitz
4. Lasse Heje Pedersen
5. Grigory Vilkov
6. Hyun Song Shin

Citations in the corpus

• Sparse Signals in the Cross‐Section of Returns (2018, unknown): “And, DeMiguel et al. (2014) show that simple vectorautoregressive (VAR) models can boost out-of-sample return predictability.”
• Multiperiod portfolio optimization with multiple risky assets and general transaction costs (2016, unknown): “Transaction costs play an important role in investment management because they can easily erode the gains from a trading strategy; see, for instance, DeMiguel et al. (2014).”
• Why Does an Equal-Weighted Portfolio Outperform Value- and Price-Weighted Portfolios? (2015, background): “…their alpha and makes 3For the literature on momentum and contrarian strategies, see Jegadeesh (1990), Conrad and Kaul (1998), Jegadeesh and Titman (1993, 2002), Lo and MacKinlay (1990), DeMiguel, Nogales, and Uppal (2010) and Asness, Moskowitz, and Pedersen (2009). skewness less negative.”
• Time Series Momentum (2012, background): “Garleanu and Pedersen (2009) show how to trade optimally on momentum and reversal in light of transaction costs, and DeMiguel, Nogales, and Uppal (2010) show how to construct an optimal portfolio based on stocks’ serial dependence and find outperformance out-of-sample.”