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
André A. P. SantosCUNEFVerified email at cunef.edu
José M. ArroyoUniversidad de Castilla-La ManchaVerified email at uclm.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
Sergio García QuilesSchool of Mathematics, The University of EdinburghVerified email at ed.ac.uk
Juan Miguel Morales GonzálezAssociate 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
Miriam Bueno LorenzoAssistant professor (Universidad Carlos III de Madrid)Verified email at uc3m.es
João CaldeiraAssociated Professor, UFSC

Francisco J.Nogales

Associate 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	2008	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	1266	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	1129	2009
Portfolio selection with robust estimation V DeMiguel, FJ Nogales Operations research 57 (3), 560-577, 2009	445	2009
Price-taker bidding strategy under price uncertainty AJ Conejo, FJ Nogales, JM Arroyo IEEE Transactions on Power Systems 17 (4), 1081-1088, 2002	433	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	269	2003
A decomposition procedure based on approximate Newton directions AJ Conejo, FJ Nogales, FJ Prieto Mathematical programming 93, 495-515, 2002	250	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	225	2004
Electricity price forecasting through transfer function models FJ Nogales, AJ Conejo Journal of the Operational Research Society 57 (4), 350-356, 2006	189	2006
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	182	2014
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	165	2013
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	155	2020
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	116	2005
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	114	2013
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	80	2014
Multiperiod Portfolio Optimization with General Transaction Costs X Mei, V DeMiguel, FJ Nogales Journal of Banking and Finance 69, 108-120, 2016	67	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	60	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	52	2017
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
Optimal portfolios with minimum capital requirements AAP Santos, FJ Nogales, E Ruiz, D Van Dijk Journal of Banking & Finance 36 (7), 1928-1942, 2012	40	2012

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