Overview
Lorenzo Garlappi is a financial economist (Sauder School of Business, University of British Columbia; earlier University of Texas at Austin), working on portfolio choice, asset pricing, and the effects of estimation and model uncertainty.
Key Contributions / Features
- Multi-prior portfolio choice (Garlappi-Uppal-Wang 2007): ambiguity-averse mean-variance optimization robust to parameter/model uncertainty.
- DeMiguel-Garlappi-Uppal (2009): the "1/N" study showing naive diversification is hard to beat out of sample.
- Work on real options, dynamic portfolio choice, and the cross-section of returns.
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