Francisco J.Nogales

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Victor DeMiguelProfessor, London Business SchoolAdresse e-mail validée de london.edu
Antonio J. ConejoProfessor, The Ohio State UniversityAdresse e-mail validée de osu.edu
Raman UppalProfessor of Finance, Edhec Business SchoolAdresse e-mail validée de edhec.edu
Javier ContrerasUCLMAdresse e-mail validée de uclm.es
Alberto Martín-UtreraIowa State UniversityAdresse e-mail validée de iastate.edu
Lorenzo GarlappiUniversity of British ColumbiaAdresse e-mail validée de sauder.ubc.ca
ANDRES M. ALONSOUniversidad Carlos III de MadridAdresse e-mail validée de est-econ.uc3m.es
André Portela SantosCUNEFAdresse e-mail validée de cunef.edu
José M. ArroyoUniversidad de Castilla-La ManchaAdresse e-mail validée de uclm.es
Mei XiaolingXiamen UniversityAdresse e-mail validée de xmu.edu.cn
Carlos RuizAssociate Professor at Universidad Carlos III, Madrid, Department of Statistics.Adresse e-mail validée de est-econ.uc3m.es
ESTHER RUIZ ORTEGAUniversidad Carlos III de MadridAdresse e-mail validée de est-econ.uc3m.es
Michael P. FriedlanderProfessor of Computer Science and Mathematics, University of British ColumbiaAdresse e-mail validée de friedlander.io
Javier Gil-BazoUniversitat Pompeu Fabra; Barcelona School of Economics; UPF Barcelona School of ManagementAdresse e-mail validée de upf.edu
Vahe AvagyanAssistant Professor, Wageningen University & ResearchAdresse e-mail validée de wur.nl
Sergio García QuilesSchool of Mathematics, The University of EdinburghAdresse e-mail validée de ed.ac.uk
Juan Miguel Morales GonzálezFull Professor (UMA)Adresse e-mail validée de uma.es
Dick van DijkProfessor of Financial Econometrics, Erasmus University RotterdamAdresse e-mail validée de ese.eur.nl
Guilherme MouraProfessor at Federal University of Santa Catarina - BrazilAdresse e-mail validée de ufsc.br
Julio UsaolaProfessor of Electrical Engineering Department. University Carlos IIIAdresse e-mail validée de ing.uc3m.es

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Francisco J.Nogales

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

Adresse e-mail validée de uc3m.es - Page d'accueil

Portfolio Optimization Data Science Optimization Energy Forecasting Energy Analytics


Titre Trier par citations Trier par année Trier par titre	Citée par Citée par	Année
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	2251	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	1332	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	1280	2009
Portfolio selection with robust estimation V DeMiguel, FJ Nogales Operations research 57 (3), 560-577, 2009	493	2009
Price-taker bidding strategy under price uncertainty AJ Conejo, FJ Nogales, JM Arroyo IEEE transactions on power systems 17 (4), 1081-1088, 2002	452	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	293	2003
A decomposition procedure based on approximate Newton directions AJ Conejo, FJ Nogales, FJ Prieto Mathematical programming 93, 495-515, 2002	263	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	227	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	216	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	190	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	124	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	120	2005
Multiperiod Portfolio Optimization with General Transaction Costs X Mei, V DeMiguel, FJ Nogales Journal of Banking and Finance 69, 108-120, 2016	85	2016
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	78	2014
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	74	2015
Hierarchical Clustering for Smart Meter Electricity Loads Based on Quantile Autocovariances AM Alonso, FJ Nogales, C Ruiz IEEE Transactions on Smart Grid, 2020	52	2020
A portfolio perspective on the multitude of firm characteristics V DeMiguel, A Martin Utrera, FJ Nogales, R Uppal CEPR Discussion Paper No. DP12417, 2017	52	2017
Machine learning and fund characteristics help to select mutual funds with positive alpha V DeMiguel, J Gil-Bazo, FJ Nogales, AAP Santos Journal of Financial Economics 150 (3), 103737, 2023	49	2023

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