Co-author Network
Co-researcher Network
sample of publications
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articles
- Machine learning and fund characteristics help to select mutual funds with positive alpha. Journal of Financial Econometrics. 150:1-22. 2023
- Clustering Electricity Consumers: Challenges and Applications for Operating Smart Grids. IEEE Power & Energy Magazine. 20:54-63. 2022
- A Stepwise Approach for High-Dimensional Gaussian Graphical Models. Journal of Data Science, Statistics, and Visualisation. 1. 2021
- A Single Scalable LSTM Model for Short-Term Forecasting of Massive Electricity Time Series. Energies. 13:5328. 2020
- A transaction-cost perspective on the multitude of firm characteristics. REVIEW OF FINANCIAL STUDIES. 33:2180-2222. 2020
- Hierarchical clustering for smart meter electricity loads based on quantile autocovariances. IEEE Transactions on Smart Grid. 11:4522-4530. 2020
- Portfolio selection with proportional transaction costs and predictability. JOURNAL OF BANKING & FINANCE. 94:131-151. 2018
- D-trace estimation of a precision matrix using adaptive Lasso penalties. Advances in Data Analysis and Classification. 12:425-447. 2018
- Retail Equilibrium with Switching Consumers in Electricity Markets.. NETWORKS & SPATIAL ECONOMICS. 18:145-180. 2018
- Improving the Graphical Lasso Estimation for the Precision Matrix Through Roots of the Sample Covariance Matrix. JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS. 26:865-872. 2017
- Combining Multivariate Volatility Forecasts: An Economic-Based Approach. Journal of Financial Econometrics. 15:247-285. 2017
- Multiperiod portfolio optimization with multiple risky assets and general transaction costs. JOURNAL OF BANKING & FINANCE. 69:108-120. 2016
- Parameter uncertainty in multiperiod portfolio optimization with transaction costs. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS. 50:1443-1471. 2015
- A Randomized Granular Tabu Search heuristic for the split delivery vehicle routing problem. ANNALS OF OPERATIONS RESEARCH. 222:153-173. 2014
- Stock return serial dependence and out-of-sample portfolio performance. REVIEW OF FINANCIAL STUDIES. 27:1031-1073. 2014
- Size matters: optimal calibration of shrinkage estimators for portfolio selection. JOURNAL OF BANKING & FINANCE. 37:3018-3034. 2013
- Comparing univariate and multivariate models to forecast portfolio Value-at-Risk. Journal of Financial Econometrics. 11:400-441. 2013
- Optimal portfolios with minimum capital requirements. JOURNAL OF BANKING & FINANCE. 36:1928-1942. 2012
- Electricity Pool Prices: Long-Term Uncertainty Characterization for Futures-Market Trading and Risk Management. JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY. 61:235-245. 2010
- Portfolio Selection with Robust Estimation. OPERATIONS RESEARCH. 57:560-577. 2009
- A Generalized Approach to Portfolio Optimization: Improving Performance By Constraining Portfolio Norms. MANAGEMENT SCIENCE. 55:798-812. 2009
- On Decomposition Methods for a Class of Partially Separable Nonlinear Programs. MATHEMATICS OF OPERATIONS RESEARCH. 33:119-139. 2008
- Solving Dynamic Stochastic Economic Models by Mathematical Programming Decomposition Methods. COMPUTERS & OPERATIONS RESEARCH. 35:226-240. 2008
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book chapters
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conference contributions
- Retail equilibrium with switching consumers in electricity markets 2016
- Improving the graphical lasso estimation for the precision matrix though roots of the sample covariance matrix 2014
- A Vehicle Routing Model with Stop Nodes 2012
- Calibration of Shrinkage Estimators for Portfolio Optimization 2011
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working papers
- Predictive day-ahead offering for renewable generators in uncertain spot and balancing markets 2024
- Robust and sparse estimation of high-dimensional precision matrices via bivariate outlier detection 2017
- Portfolio selection with proportional transaction costs and predictability 2015
- Retail competition with switching consumers in electricity markets 2015
- D-trace Precision Matrix Estimation Using Adaptive Lasso Penalties 2015
- Ranking Edges and Model Selection in High-Dimensional Graphs 2015
- Improving the graphical lasso estimation for the precision matrix through roots ot the sample convariance matrix 2014
- Parameter uncertainty in multiperiod portfolio optimization with transaction costs 2013
- Multiperiod portfolio selection with transaction and market-impact costs 2013
- Calibration of shrinkage estimators for portfolio optimization 2011
- A vehicle routing model with split delivery and stop nodes 2011
- Optimal Portfolios with Minimum Capital Requirements 2010
- LIBOR Additive Model Calibration to Swaptions Markets 2008