Francisco J. Nogales. Education. Professional Experience. Avda. de la Universidad, 30

Transcription

1 Francisco J. Nogales Department of Statistics Universidad Carlos III de Madrid - Spain Avda. de la Universidad, Legane s (Madrid) Tel: Fax: FcoJavier.Nogales@uc3m.es Education : B.A. in Mathematics, Universidad Auto noma de Madrid, Spain : Ph.D. in Mathematics, Universidad Carlos III de Madrid, Spain. Professional Experience : Director of the PhD Program in Mathematical Engineering, Universidad Carlos III de Madrid : Director of the Master in Mathematical Engineering, Universidad Carlos III de Madrid : Associate Professor, Department of Statistics, Universidad Carlos III de Madrid : Assistant Professor, Department of Statistics, Universidad Carlos III de Madrid : Assistant Professor, Escuela Te cnica Superior de Ingenieros Industriales, Universidad de Castilla-La Mancha : Part-time Professor, Department of Statistics, Universidad Carlos III de Madrid : Teaching Assistant, Department of Statistics, Universidad Carlos III de Madrid. 1

2 Teaching Experience in University 1. Statistics I: B.A. in Business Administration (99/00). 2. Statistical Methods I: B.A. in Industrial Engineering (00/01). 3. Statistical Methods II: B.A. in Industrial Engineering (00/01 and 01/02). 4. Statistical Methods in Engineering: B.A. in Industrial Engineering (01/02). 5. Statistical Methods: B.A. in Industrial Engineering (02/03). 6. Industrial Statistics: B.A. in Industrial Engineering (02/03 to 11/12). 7. Operations Research: B.A. in Computer Engineering (02/03 to 08/09). 8. Statistics: B.A. in Computer Engineering (09/10 to 14/15). 9. Statistics II: B.A. in Business Administration, and Finance and Accounting (12/13). 10. Optimization and Simulation in Business: B.A. in Business Administration, and Finance and Accounting (14/15). 11. Statistics, Probability, and Multivariate Analysis: Master in Industrial Economics and Markets (12/13 to 14/15). Other Teaching Experience Short courses for companies and public organisms Multivariate data analysis, advanced regression techniques, financial optimization, optimization under uncertainty. Software used: Matlab, R, Sas, Stata, Excel, Statgraphics, Eviews, Splus, SPSS,... 2

3 Research Interests Big Data Optimization: large and sparse optimization, stochastic optimization, Lasso regressions, high-dimensional covariance and precision matrix estimation, sparse networks, low-rank matrix recovery. Quantitative Portfolio Management: low-volatility investing, portfolio optimization under estimation risk, value-at-risk optimization, robust portfolio optimization, forecasting. Analytics in Energy Markets: forecasting, strategic bidding, trading strategies and risk management. Published or accepted publications 1. A Decomposition Procedure Based on Approximate Newton Directions. Other authors: A. J. Conejo and F. J. Prieto. Mathematical Programming, Ser. A, Vol. 93, No. 3, pp , Forecasting Next-Day Electricity Prices by Time Series Models. Other authors: J. Contreras, A. J. Conejo and R. Espínola. IEEE Transactions on Power Systems, Vol. 17, No. 2, pp , May Price-Taker Bidding Strategy under Price Uncertainty. Other authors: A. J. Conejo and J. M. Arroyo. IEEE Transactions on Power Systems, Vol. 17, No. 4, pp , Nov A Decomposition Methodology Applied to the Multi-Area Optimal Power Flow Problem. Other authors: A. J. Conejo and F. J. Prieto. Annals of Operations Research, Vol. 120, pp , ARIMA Models to Predict Next-Day Electricity Prices. Other authors: J. Contreras, R. Espínola and A. J. Conejo. IEEE Transactions on Power Systems, Vol. 18, No. 3, pp , Aug Risk-Constrained Self-Scheduling of a Thermal Power Producer. Other authors: A. J. Conejo, J. M. Arroyo and R. García-Bertrand. IEEE Transactions on Power Systems, Vol. 18, No. 3, pp , A two-sided relaxation scheme for Mathematical Programs with Equilibrium Constraints. Other authors: A. V. DeMiguel, M. P. Friedlander and S. Scholtes. SIAM Journal on Optimization, Vol. 16, No. 2, pp ,

4 8. Electricity Price Forecasting through Transfer Function Models. Other authors: A. J. Conejo. Journal of the Operational Research Society, Vol. 57, pp , Solving dynamic stochastic economic models by mathematical programming decomposition methods. Other authors: M. Esteban-Bravo. Computers and Operations Research, Vol. 35, No. 1, pp , On Decomposition Methods for a Class of Partially Separable Nonlinear Programs. Other authors: A. V. DeMiguel. Mathematics of Operations Research, Vol. 33, No. 1, pp , Portfolio Selection with Robust Estimation. Other authors: A. V. DeMiguel. Operations Research, Vol. 57, No. 3, pp , A Generalized Approach to Portfolio Optimization: Improving Performance By Constraining Portfolio Norms. Other authors: V. DeMiguel, L. Garlappi, and R. Uppal. Management Science, Vol. 55, No. 5, pp , Electricity Pool Prices: Long-Term Uncertainty Characterization for Futures-Market Trading and Risk Management. Other authors: A. J. Conejo, M. Carrión, and J. M. Morales. Journal of the Operational Research Society, Vol. 61, pp , Optimal portfolios with minimum capital requirements. Other authors: A. A. P. Santos, E. Ruíz, and D. J. C. Van Dijk. Journal of Banking and Finance, Vol. 36(7), pp , Comparing univariate and multivariate models to forecast portfolio value-at-risk. Other authors: A. A. P. Santos and E. Ruíz. Journal of Financial Econometrics, 11(2), pp , A Randomized Granular Tabu Search Heuristic for the Split Delivery Vehicle Routing Problem. Other authors: L. Berbotto and S. García. Annals of Operations Research,

5 17. Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection. Other authors: A. V. DeMiguel and A. Martin-Utrera. Journal of Banking and Finance, 37, pp , Stock Return Serial Dependence and Out-of-Sample Portfolio Performance. Other authors: A. V. DeMiguel and R. Uppal. Review of Financial Studies, Parameter Uncertainty in Multiperiod Portfolio Optimization With Transaction Costs. Other authors: A. V. DeMiguel and A. Martin-Utrera. Journal of Financial and Quantitative Analysis, Research Grants and Projects Participation in the project (MTM P, Ministerio de Economía y Competitividad): Regularized Optimization: New Models and Methods in Big Data. Duration: IP: Francisco J. Nogales. Participation in the project (MTM , Ministerio de Ciencia e Innovación): Optimization under uncertainty in finance: new models and techniques. Duration: PI: Francisco J. Nogales. Participation in the project (Ministerio de Ciencia e Innovación): Programa I3. Duration: PI: Francisco J. Nogales. Participation in the project (CCG08-UC3M/ESP-4162, Comunidad Autónoma de Madrid y la Universidad Carlos III de Madrid): Decision Support Models under Uncertainty. Duration: PI: Francisco J. Nogales. Participation in the project (CTREN/07/FP6EN/S /038692, European Commission, Energy and Transport): ANEMOS PLUS: Advanced Tools for the Management of Electricity Grids with Large-Scale Wind Generation. Duration: PI: Julio Usaola. Participation in the project (INQUIRE-UK Research Grant): Improving Performance By Constraining Portfolio Norms: A Generalized Approach to Portfolio Optimization. Duration: PI: Raman Uppal. 5

6 Participation in project (CCG07-UC3M/ESP-3389, Comunidad Autónoma de Madrid and Universidad Carlos III de Madrid): Large-scale Systems Optimization by Mathematical Programming. Duration: PI: José Niño-Mora. Participation in project (MTM , Ministerio de Educación y Ciencia, Spain): Methods and Models for Dynamic and Stochastic Optimization. Duration: PI: José Niño-Mora. Participation in project (CCG06-UC3M/ESP-0767, Comunidad Autónoma de Madrid and Universidad Carlos III de Madrid): Dynamic, Stochastic and Combinatorial Optimization Models of Productive, Logistic and Financial Systems. Duration: PI: José Niño-Mora. Participation in project (UC3M-MTM , Comunidad Autónoma de Madrid and Universidad Carlos III de Madrid): Dynamic, Stochastic and Combinatorial Optimization Models of Productive, Logistic and Financial Systems. Duration: PI: José Niño-Mora. Participation in project (MTM , Ministerio de Educación y Ciencia, Spain): Methods, Formulations and Algorithms for the Solution of Dynamic and Stochastic Optimization Models via Mathematical Programming. Duration: PI: José Niño-Mora. Participation in project (GC , Junta de Comunidades de Castilla-La Mancha): Electric Energy Systems Group. Duration: PI: Antonio Conejo. Participation in project (FEDER, MCYT): New methods for automatic production systems. Duration: PI: Vicente Feliu. Participation in project (FEDER/CICYT 1FD ): New methods for price forecasting in electricity markets. Duration: PI: Antonio Conejo. Participation in project (CICYT PB , Ministerio de Educación y Ciencia, Spain): Building of multivariate dynamic models. Duration: PI: Daniel Peña Sánchez de Rivera. Supervised Ph.D. Students Title: Dynamic interest-rate modelling in Incomplete Markets. Student: Jesús P. Colino. Department of Statistics, UC3M. 6

7 Co-advised with: Prof. Winfried Stute (Univ. of Giessen). Date: January Title: Multivariate Volatility Models in Financial Risk Management and Portfolio Selection. Student: André A. P. Santos. Department of Statistics, UC3M. Co-advised with: Prof. Esther Ruíz. Date: June, Title: Parameter Uncertainty in Portfolio Optimization. Student: Alberto Martín-Utrera. Department of Statistics, UC3M. Co-advised with: Prof. Victor DeMiguel (London Business School). Date: September, Ph.D. Students in progress Title: Optimization in Transportation under Uncertainty:The Split Delivery Vehicle Routing Problem. Student: Leonardo Berbotto. Department of Statistics, UC3M. Co-advised with: Prof. Sergio García. Proposal Date: September, Title: Dynamic Portfolio Selection with Transaction Costs and Estimation Error. Student: Mei Xiaoling. Department of Statistics, UC3M. Co-advised with: Prof. Victor DeMiguel (London Business School). Proposal Date: September, Title: New estimation methods for high dimensional inverse covariance matrices. Student: Vahe Avagyan. Department of Statistics, UC3M. Co-advised with: Prof. Andrés Alonso. Proposal Date: September, Title: Robust and sparse estimation of precision matrices. Student: Ginette Lafit. Department of Statistics, UC3M. Co-advised with: Prof. Rubén Zamar (UBC). Proposal Date: September,

8 Other merits and activities h-index (ISI-Web of Science): 10. Total citations to his publications: 785 (ISI-Web of Science) and 1846 (Google Scholar) and 2013 Young Investigator Award for Research Excellence (UC3M). More than 30 invited presentations and conferences Referee for the following journals: Operations Research, IEEE Transactions on Power Systems, SIAM Journal on Optimization, European Journal on Operational Research, Annals of Operations Research, TOP, International Journal on Forecasting, Journal of Economic and Dynamics Control, SIAM Journal on Financial Mathematics, Optimization Methods and Software, Journal of Risk, Journal of Business and Finance Accounting, Computational Statistics and Data Analysis, Computational Management Science, Quantitative Finance, The Financial Review, Computers and Operations Research, Journal of Portfolio Management, Review of Financial Studies, Journal of Banking and Finance, Computational Statistics and Data Analysis. Member of the following Scientific Societies: INFORMS, SIAM, SEIO. Web administrator of the Department of Statistics at Universidad Carlos III de Madrid: 8