Items where Author is "Martin Utrera, Alberto"

Journal Article

Basic, Filip and Lohre, Harald and Martin Utrera, Alberto and Nolte, Ingmar and Nolte, Sandra (2024) Transaction Cost-Optimized Equity Factors Around the World. Journal of Portfolio Management, 50 (6). pp. 40-73. ISSN 0095-4918

Martin Utrera, Alberto and DeMiguel, Victor and Uppal, Raman and Nogales, Francisco J. (2020) A Transaction-Cost Perspective on the Multitude of Firm Characteristics. Review of Financial Studies, 33 (5). 2180–2222. ISSN 0893-9454

DeMiguel, Victor and Martin Utrera, Alberto and Nogales, Francisco J. (2015) Parameter uncertainty in multiperiod portfolio optimization with transaction costs. Journal of Financial and Quantitative Analysis, 50 (6). pp. 1443-1471. ISSN 0022-1090

DeMiguel, Victor and Martin Utrera, Alberto and Nogales, Francisco J. (2013) Size matters : optimal calibration of shrinkage estimators for portfolio selection. Journal of Banking and Finance, 37 (8). pp. 3018-3034. ISSN 0378-4266

Monograph

Martin Utrera, Alberto (2018) Maximum Mispricing on Announcement Days. Working Paper. UNSPECIFIED.

Martin Utrera, Alberto and DeMiguel, Victor and Uppal, Raman and Nogales, Francisco J. (2017) A Transaction-Cost Perspective on the Multitude of Firm Characteristics. Working Paper. UNSPECIFIED.