Francisco J.Nogales
Francisco J.Nogales
Full Professor of Statistics and Optimization, Universidad Carlos III de Madrid, Spain
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Cited by
Cited by
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
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
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
Portfolio selection with robust estimation
V DeMiguel, FJ Nogales
Operations research 57 (3), 560-577, 2009
Price-taker bidding strategy under price uncertainty
AJ Conejo, FJ Nogales, JM Arroyo
IEEE Transactions on Power Systems 17 (4), 1081-1088, 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
A decomposition procedure based on approximate Newton directions
AJ Conejo, FJ Nogales, FJ Prieto
Mathematical programming 93, 495-515, 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
Electricity price forecasting through transfer function models
FJ Nogales, AJ Conejo
Journal of the Operational Research Society 57, 350-356, 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
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
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
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
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
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
Multiperiod Portfolio Optimization with General Transaction Costs
X Mei, V DeMiguel, FJ Nogales
Journal of Banking and Finance 69, 108-120, 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
A portfolio perspective on the multitude of firm characteristics
V DeMiguel, A Martin Utrera, FJ Nogales, R Uppal
CEPR Discussion Paper No. DP12417, 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
Hierarchical Clustering for Smart Meter Electricity Loads Based on Quantile Autocovariances
AM Alonso, FJ Nogales, C Ruiz
IEEE Transactions on Smart Grid, 2020
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