Presentation

This is my personal web page.

My official (University) page is here: official page.

Currently, I am a Full Professor in the Department of Statistics at Universidad Carlos III de Madrid (UC3M). Senior member in the Research Institute UC3M-Santander of Financial Big Data. Director of the Master and PhD Programs in Mathematical Engineering at UC3M.

Previously, I was a Visiting Professor at Universidad de Castilla-La Mancha (2000-2002), and after that (2002-2007), I was a Visiting Professor (tenure-track) at the Department of Statistics of (UC3M).

I obtained a B.S. degree in Mathematics (1995) from Universidad Autónoma de Madrid and a Ph.D. in Mathematics (2000) from (UC3M).

Young Investigator Award for Research Excellence (UC3M) in 2010, 2013, and 2017.

Research Interests (Data Science):

• Big Data Optimization: non-linear programming, large and sparse optimization, high-dimensional covariance and precision matrix estimation, sparse networks, low-rank matrix recovery.

• Optimization under Uncertainty: stochastic programming, low-volatility investing, portfolio optimization under estimation risk, value-at-risk optimization, robust portfolio optimization.

• Advanced prediction tools: forecasting for massive time-series, energy and finance, clustering of time series.