Francisco J.Nogales
Francisco J.Nogales
Associate Professor of Statistics and Optimization, Universidad Carlos III de Madrid, Spain
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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
14742003
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
10982002
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
8082009
Price-taker bidding strategy under price uncertainty
AJ Conejo, FJ Nogales, JM Arroyo
IEEE Transactions on Power Systems 17 (4), 1081-1088, 2002
3692002
Portfolio selection with robust estimation
V DeMiguel, FJ Nogales
Operations Research 57 (3), 560-577, 2009
3302009
A decomposition methodology applied to the multi-area optimal power flow problem
FJ Nogales, FJ Prieto, AJ Conejo
Annals of operations research 120 (1-4), 99-116, 2003
2262003
A decomposition procedure based on approximate Newton directions
AJ Conejo, FJ Nogales, FJ Prieto
Mathematical programming 93 (3), 495-515, 2002
2172002
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
2032004
Electricity price forecasting through transfer function models
FJ Nogales, AJ Conejo
Journal of the Operational Research Society 57 (4), 350-356, 2006
1662006
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
1282014
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
1052013
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
1022005
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
872013
A randomized granular tabu search heuristic for the split delivery vehicle routing problem
L Berbotto, S García, FJ Nogales
Annals of Operations Research 222 (1), 153-173, 2014
542014
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
441999
A portfolio perspective on the multitude of firm characteristics
V DeMiguel, A Martin Utrera, FJ Nogales, R Uppal
CEPR Discussion Paper No. DP12417, 2017
432017
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
362020
Parameter uncertainty in multiperiod portfolio optimization with transaction costs
V DeMiguel, A Martín-Utrera, FJ Nogales
Journal of Financial and Quantitative Analysis, 1443-1471, 2015
352015
Optimal portfolios with minimum capital requirements
AAP Santos, FJ Nogales, E Ruiz, D Van Dijk
Journal of Banking & Finance 36 (7), 1928-1942, 2012
352012
Multiperiod Portfolio Optimization with General Transaction Costs
X Mei, V DeMiguel, FJ Nogales
Journal of Banking and Finance 69, 108-120, 2016
322016
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