Francisco J.Nogales

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Victor DeMiguelProfessor, London Business SchoolVerified email at london.edu
Antonio J. ConejoProfessor, The Ohio State UniversityVerified email at osu.edu
Raman UppalProfessor of Finance, Edhec Business SchoolVerified email at edhec.edu
Javier ContrerasUCLMVerified email at uclm.es
Alberto Martín-UtreraIowa State UniversityVerified email at iastate.edu
Lorenzo GarlappiUniversity of British ColumbiaVerified email at sauder.ubc.ca
ANDRES M. ALONSOUniversidad Carlos III de MadridVerified email at est-econ.uc3m.es
André Portela SantosCUNEFVerified email at cunef.edu
José M. ArroyoUniversidad de Castilla-La ManchaVerified email at uclm.es
Mei XiaolingXiamen UniversityVerified email at xmu.edu.cn
Carlos RuizAssociate Professor at Universidad Carlos III, Madrid, Department of Statistics.Verified email at est-econ.uc3m.es
ESTHER RUIZ ORTEGAUniversidad Carlos III de MadridVerified email at est-econ.uc3m.es
Michael P. FriedlanderProfessor of Computer Science and Mathematics, University of British ColumbiaVerified email at friedlander.io
Javier Gil-BazoUniversitat Pompeu Fabra; Barcelona School of Economics; UPF Barcelona School of ManagementVerified email at upf.edu
Vahe AvagyanAssistant Professor, Wageningen University & ResearchVerified email at wur.nl
Sergio García QuilesSchool of Mathematics, The University of EdinburghVerified email at ed.ac.uk
Juan Miguel Morales GonzálezFull Professor (UMA)Verified email at uma.es
Dick van DijkProfessor of Financial Econometrics, Erasmus University RotterdamVerified email at ese.eur.nl
Guilherme MouraProfessor at Federal University of Santa Catarina - BrazilVerified email at ufsc.br
Julio UsaolaProfessor of Electrical Engineering Department. University Carlos IIIVerified email at ing.uc3m.es

Francisco J.Nogales

Full Professor of Statistics and Optimization, Universidad Carlos III de Madrid, Spain

Verified email at uc3m.es - Homepage

Portfolio Optimization Data Science Optimization Energy Forecasting Energy Analytics


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ARIMA models to predict next-day electricity prices J Contreras, R Espinola, FJ Nogales, AJ Conejo IEEE transactions on power systems 18 (3), 1014-1020, 2003	2203	2003
Forecasting next-day electricity prices by time series models FJ Nogales, J Contreras, AJ Conejo, R Espínola IEEE Transactions on power systems 17 (2), 342-348, 2002	1310	2002
A generalized approach to portfolio optimization: Improving performance by constraining portfolio norms V DeMiguel, L Garlappi, FJ Nogales, R Uppal Management science 55 (5), 798-812, 2009	1239	2009
Portfolio selection with robust estimation V DeMiguel, FJ Nogales Operations research 57 (3), 560-577, 2009	478	2009
Price-taker bidding strategy under price uncertainty AJ Conejo, FJ Nogales, JM Arroyo IEEE Transactions on Power Systems 17 (4), 1081-1088, 2002	446	2002
A decomposition methodology applied to the multi-area optimal power flow problem FJ Nogales, FJ Prieto, AJ Conejo Annals of operations research 120, 99-116, 2003	289	2003
A decomposition procedure based on approximate Newton directions AJ Conejo, FJ Nogales, FJ Prieto Mathematical programming 93, 495-515, 2002	262	2002
Risk-constrained self-scheduling of a thermal power producer AJ Conejo, FJ Nogales, JM Arroyo, R García-Bertrand IEEE Transactions on Power Systems 19 (3), 1569-1574, 2004	230	2004
A transaction-cost perspective on the multitude of firm characteristics V DeMiguel, A Martin-Utrera, FJ Nogales, R Uppal The Review of Financial Studies 33 (5), 2180-2222, 2020	201	2020
Stock return serial dependence and out-of-sample portfolio performance V DeMiguel, FJ Nogales, R Uppal The Review of Financial Studies 27 (4), 1031-1073, 2014	201	2014
Electricity price forecasting through transfer function models FJ Nogales, AJ Conejo Journal of the Operational Research Society 57 (4), 350-356, 2006	193	2006
Size matters: Optimal calibration of shrinkage estimators for portfolio selection V DeMiguel, A Martin-Utrera, FJ Nogales Journal of Banking & Finance 37 (8), 3018-3034, 2013	186	2013
Comparing univariate and multivariate models to forecast portfolio value-at-risk AAP Santos, FJ Nogales, E Ruiz Journal of financial econometrics 11 (2), 400-441, 2013	126	2013
A two-sided relaxation scheme for mathematical programs with equilibrium constraints V DeMiguel, MP Friedlander, FJ Nogales, S Scholtes SIAM Journal on Optimization 16 (2), 587-609, 2005	117	2005
A randomized granular tabu search heuristic for the split delivery vehicle routing problem L Berbotto, S García, FJ Nogales Annals of Operations Research 222, 153-173, 2014	81	2014
Multiperiod Portfolio Optimization with General Transaction Costs X Mei, V DeMiguel, FJ Nogales Journal of Banking and Finance 69, 108-120, 2016	79	2016
Parameter uncertainty in multiperiod portfolio optimization with transaction costs V DeMiguel, A Martín-Utrera, FJ Nogales Journal of Financial and Quantitative Analysis 50 (6), 1443-1471, 2015	72	2015
A portfolio perspective on the multitude of firm characteristics V DeMiguel, A Martin Utrera, FJ Nogales, R Uppal CEPR Discussion Paper No. DP12417, 2017	54	2017
Hierarchical Clustering for Smart Meter Electricity Loads Based on Quantile Autocovariances AM Alonso, FJ Nogales, C Ruiz IEEE Transactions on Smart Grid, 2020	46	2020
Multi-area AC optimal power flow: A new decomposition approach FJ Nogales, FJ Prieto, AJ Conejo Proceedings of the 13th power systems control conference (PSCC), 1201-1206, 1999	45	1999

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