Theo dõi
Francisco J.Nogales
Francisco J.Nogales
Full Professor of Statistics and Optimization, Universidad Carlos III de Madrid, Spain
Email được xác minh tại uc3m.es - Trang chủ
Tiêu đề
Trích dẫn bởi
Trích dẫn bởi
Năm
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
22512003
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
13322002
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
12802009
Portfolio selection with robust estimation
V DeMiguel, FJ Nogales
Operations research 57 (3), 560-577, 2009
4932009
Price-taker bidding strategy under price uncertainty
AJ Conejo, FJ Nogales, JM Arroyo
IEEE transactions on power systems 17 (4), 1081-1088, 2002
4522002
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
2932003
A decomposition procedure based on approximate Newton directions
AJ Conejo, FJ Nogales, FJ Prieto
Mathematical programming 93, 495-515, 2002
2632002
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
2282004
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
2162020
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
2012014
Electricity price forecasting through transfer function models
FJ Nogales, AJ Conejo
Journal of the Operational Research Society 57 (4), 350-356, 2006
1932006
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
1902013
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
1242013
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
1202005
Multiperiod Portfolio Optimization with General Transaction Costs
X Mei, V DeMiguel, FJ Nogales
Journal of Banking and Finance 69, 108-120, 2016
852016
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
782014
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
742015
Hierarchical Clustering for Smart Meter Electricity Loads Based on Quantile Autocovariances
AM Alonso, FJ Nogales, C Ruiz
IEEE Transactions on Smart Grid, 2020
522020
A portfolio perspective on the multitude of firm characteristics
V DeMiguel, A Martin Utrera, FJ Nogales, R Uppal
CEPR Discussion Paper No. DP12417, 2017
522017
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
492023
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