My blogs

Portfolio Management under Estimation Risk

About me

Introduction	Associate Professor of Statistics and Optimization at Universidad Carlos III de Madrid (UC3M), Spain. www.est.uc3m.es/Nogales
Interests	Quantitative Portfolio Management: portfolio optimization under estimation risk, value-at-risk optimization, robust portfolio optimization, out-of-sample portfolio performance. Quantitative Techniques in Electricity Markets: price forecasting, strategic bidding, trading strategies and risk management, etc. Optimization under Uncertainty: nonlinear and large-scale optimization, robust optimization, stochastic programming, forecasting.

Introduction

Associate Professor of Statistics and Optimization at Universidad Carlos III de Madrid (UC3M), Spain. www.est.uc3m.es/Nogales

Interests

Quantitative Portfolio Management: portfolio optimization under estimation risk, value-at-risk optimization, robust portfolio optimization, out-of-sample portfolio performance. Quantitative Techniques in Electricity Markets: price forecasting, strategic bidding, trading strategies and risk management, etc. Optimization under Uncertainty: nonlinear and large-scale optimization, robust optimization, stochastic programming, forecasting.