A Generalized Approach to Portfolio Optimization: Improving Performance By Constraining Portfolio Norms

MANAGEMENT SCIENCE (p. 798-812) - 1/2009

https://doi.org/10.1287/mnsc.1080.0986 View at source

• EISSN 1526-5501
• ISSN 0025-1909

• UC3M

A Randomized Granular Tabu Search heuristic for the split delivery vehicle routing problem

ANNALS OF OPERATIONS RESEARCH (p. 153-173) - 11/2014

https://doi.org/10.1007/s10479-012-1282-3 View at source

• EISSN 1572-9338
• ISSN 0254-5330

• UC3M

A Single Scalable LSTM Model for Short-Term Forecasting of Massive Electricity Time Series

Energies (Energies) (p. 5328) - 10/2020

https://doi.org/10.3390/en13205328 View at source

• ISSN 1996-1073

• UC3M

A transaction-cost perspective on the multitude of firm characteristics

REVIEW OF FINANCIAL STUDIES (p. 2180-2222) - 5/2020

https://doi.org/10.1093/rfs/hhz085 View at source

• EISSN 1465-7368
• ISSN 0893-9454

• UC3M

Combining Multivariate Volatility Forecasts: An Economic-Based Approach

Journal of Financial Econometrics (p. 247-285) - 9/2017

https://doi.org/10.1093/jjfinec/nbw010 View at source

• EISSN 1479-8417
• ISSN 1479-8409

• UC3M

D-trace estimation of a precision matrix using adaptive Lasso penalties

Advances in Data Analysis and Classification (p. 425-447) - 6/2018

https://doi.org/10.1007/s11634-016-0272-8 View at source

• ISSN 1862-5347

• UC3M

Electricity Pool Prices: Long-Term Uncertainty Characterization for Futures-Market Trading and Risk Management

JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY (p. 235-245) - 2/2010

https://doi.org/10.1057/jors.2008.140 View at source

• EISSN 1476-9360
• ISSN 0160-5682

• UC3M

Hierarchical clustering for smart meter electricity loads based on quantile autocovariances

IEEE Transactions on Smart Grid (p. 4522-4530) - 5/2020

https://doi.org/10.1109/tsg.2020.2991316 View at source

• EISSN 1949-3061
• ISSN 1949-3053

• UC3M

Improving the Graphical Lasso Estimation for the Precision Matrix Through Roots of the Sample Covariance Matrix

JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS (p. 865-872) - 10/2017

Editor: Universidad Carlos III de Madrid. Departamento de Estadística

https://doi.org/10.1080/10618600.2017.1340890 View at source

• EISSN 1537-2715
• ISSN 1061-8600

• UC3M
• UC3M
• UC3M

Multiperiod portfolio optimization with multiple risky assets and general transaction costs

JOURNAL OF BANKING & FINANCE (p. 108-120) - 8/2016

https://doi.org/10.1016/j.jbankfin.2016.04.002 View at source

• EISSN 1872-6372
• ISSN 0378-4266

• UC3M

A Vehicle Routing Model with Stop Nodes

EURO working Group on Vehicle Routing and Logistics Optimization (VeRoLog 2012) - 2012

• UC3M

Calibration of Shrinkage Estimators for Portfolio Optimization

INFORMS Annual Meeting: TransfORmation - 2011

Editor: Universidad Carlos III de Madrid. Departamento de Estadística

• UC3M
• UC3M

A vehicle routing model with split delivery and stop nodes

2011

Editor: Universidad Carlos III de Madrid. Departamento de Estadística

• UC3M

Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk

Journal of Financial Econometrics (p. 400-441) - 4/2009

Editor: UNIVERSIDAD CARLOS III DE MADRID

https://doi.org/10.1093/jjfinec/nbs015 View at source

• EISSN 1479-8417
• ISSN 1479-8409

• UC3M
• UC3M

D-trace Precision Matrix Estimation Using Adaptive Lasso Penalties

2015

• UC3M

LIBOR Additive Model Calibration to Swaptions Markets

2008

Editor: UNIVERSIDAD CARLOS III DE MADRID

• UC3M

Multiperiod portfolio selection with transaction and market-impact costs

2013

Editor: UNIVERSIDAD CARLOS III DE MADRID

• UC3M

Optimal Portfolios with Minimum Capital Requirements

JOURNAL OF BANKING & FINANCE (p. 1928-1942) - 7/2010

Editor: UNIVERSIDAD CARLOS III DE MADRID

https://doi.org/10.1016/j.jbankfin.2012.03.001 View at source

• EISSN 1872-6372
• ISSN 0378-4266

• UC3M
• UC3M

Portfolio selection with proportional transaction costs and predictability

JOURNAL OF BANKING & FINANCE (p. 131-151) - 9/2015

Editor: UNIVERSIDAD CARLOS III DE MADRID

10.1016/j.jbankfin.2018.07.012 View at source

• EISSN 1872-6372
• ISSN 0378-4266

• UC3M
• UC3M

Ranking Edges and Model Selection in High-Dimensional Graphs

2015

Editor: UNIVERSIDAD CARLOS III DE MADRID

• UC3M

Retail competition with switching consumers in electricity markets

2015

Editor: UNIVERSIDAD CARLOS III DE MADRID

• UC3M

Robust and sparse estimation of high-dimensional precision matrices via bivariate outlier detection

2017

Editor: UNIVERSIDAD CARLOS III DE MADRID

• UC3M

Acuerdo de colaboración en el área de Data Science

Period: 15-05-2020 - 14-05-2021

Type of funding: Regional

Funding entity: DELOITTE CONSULTING, S.L.

• UC3M

Orden de compra 3312-1 - Asesoría técnica en herramientas matemáticas y estadísticas

Period: 19-02-2016 - 19-02-2016

Type of funding: Regional

Funding entity: ERNST & YOUNG S.L.

• UC3M

CCG08-UC3M/ESP-4162 - CP08: Modelos de ayuda a la toma de decisiones en presencia de incertidumbre

Period: 01-01-2009 - 28-02-2010

Funding entity: COMUNIDAD DE MADRID-UC3M

• UC3M

Contrato Marco de Asesoramiento Técnico

Period: 01-01-2023 - 31-12-2027

Type of funding: Regional

Funding entity: CIRCULO DE INGENIO ANALITICO, S.L.

• UC3M

Desarrollo de un novedoso sistema de gestión inteligente de eficiencia energética

Period: 16-01-2017 - 15-10-2017

Type of funding: Regional

Funding entity: AICOX SOLUCIONES S.A.

• UC3M
• UC3M

Estimación de eficiencia de producción de energía solar en planta fotovoltaica

Period: 20-11-2009 - 27-11-2009

Funding entity: TECNOMA ENERGIA SOSTENIBLE (GRUPO TYPSA)

• UC3M

Modelización estadística para el dimensionamiento del almacenamiento energético. Grid To Data (G2D)

Period: 30-07-2018 - 27-05-2019

Type of funding: Regional

Funding entity: SINAP PROYECTOS Y DESARROLLOS, S.L.

• UC3M

Modelización y clasificación estadística de series temporales en el sector inmbiliario

Period: 14-04-2009 - 21-07-2009

Funding entity: TASACIONES INMOBILIARIAS, S.A. (TINSA)

• UC3M

UC3M-MTM-05-075 - Modelos de optimización dinámica estocástica y combinatoria de sistemas productivos, logísticos y financieros

Period: 01-01-2006 - 31-12-2006

Type of funding: Regional

Funding entity: COMUNIDAD DE MADRID-UC3M

• UC3M

CCG06-UC3M/ESP-0767  - Modelos de optimización dinámica, estocástica y combinatoria de sistemas tecnológicos, logísticos y financieros

Period: 01-01-2007 - 29-02-2008

Type of funding: Regional

Funding entity: COMUNIDAD DE MADRID-UC3M

• UC3M

Dynamic interest-rate modelling in Incomplete Markets

Reading date: 24-01-2009

• UC3M

Dynamic portfolio selection with transaction costs and estimation error

Reading date: 15-01-2016

• UC3M

Multivariate volatility models in financial risk management and portfolio selection

Reading date: 01-06-2010

Reading institution: FACULTAD CIENCIAS SOCIALES Y JURIDICAS

• UC3M

New estimation methods for high dimensional inverse covariance matrices

Reading date: 18-02-2016

• UC3M

Parameter uncertainty in portfolio optimization

Reading date: 27-09-2013

Reading institution: FACULTAD CIENCIAS SOCIALES Y JURIDICAS

• UC3M

Robust and Sparse Estimation of Large Precision Matrices

Reading date: 28-09-2017

• UC3M