Francisco J.Nogales

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Victor DeMiguelProfessor, London Business School確認したメールアドレス: london.edu
Antonio J. ConejoProfessor, The Ohio State University確認したメールアドレス: osu.edu
Raman UppalProfessor of Finance, Edhec Business School確認したメールアドレス: edhec.edu
Javier ContrerasUCLM確認したメールアドレス: uclm.es
Alberto Martín-UtreraIowa State University確認したメールアドレス: iastate.edu
Lorenzo GarlappiUniversity of British Columbia確認したメールアドレス: sauder.ubc.ca
ANDRES M. ALONSOUniversidad Carlos III de Madrid確認したメールアドレス: est-econ.uc3m.es
André Portela SantosCUNEF確認したメールアドレス: cunef.edu
José M. ArroyoUniversidad de Castilla-La Mancha確認したメールアドレス: uclm.es
Mei XiaolingXiamen University確認したメールアドレス: xmu.edu.cn
Carlos RuizAssociate Professor at Universidad Carlos III, Madrid, Department of Statistics.確認したメールアドレス: est-econ.uc3m.es
ESTHER RUIZ ORTEGAUniversidad Carlos III de Madrid確認したメールアドレス: est-econ.uc3m.es
Michael P. FriedlanderProfessor of Computer Science and Mathematics, University of British Columbia確認したメールアドレス: friedlander.io
Javier Gil-BazoUniversitat Pompeu Fabra; Barcelona School of Economics; UPF Barcelona School of Management確認したメールアドレス: upf.edu
Vahe AvagyanAssistant Professor, Wageningen University & Research確認したメールアドレス: wur.nl
Sergio García QuilesSchool of Mathematics, The University of Edinburgh確認したメールアドレス: ed.ac.uk
Juan Miguel Morales GonzálezFull Professor (UMA)確認したメールアドレス: uma.es
Dick van DijkProfessor of Financial Econometrics, Erasmus University Rotterdam確認したメールアドレス: ese.eur.nl
Guilherme MouraProfessor at Federal University of Santa Catarina - Brazil確認したメールアドレス: ufsc.br
Julio UsaolaProfessor of Electrical Engineering Department. University Carlos III確認したメールアドレス: ing.uc3m.es

フォロー

Francisco J.Nogales

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

確認したメールアドレス: uc3m.es - ホームページ

Portfolio Optimization Data Science Optimization Energy Forecasting Energy Analytics


タイトル引用回数順公開年順タイトル順	引用先引用先	年
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	2250	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	1279	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	228	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	189	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	77	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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