Research

I have extensive expertise in developing quantitative tools for making better decisions, mainly based on Statistics and Optimization.

I have published in top journals including Management Science, Operations Research, Mathematical Programming, Review of Financial Studies, and SIAM Journal on Optimization, among others.

Reflecting the impact of this research, these publications have received more than 3300 citations in the literature (source: ISI Web of Science), having an h-index = 18.

Finally, I participate in and lead quite a few research projects (grants), and have consulting experience for both financial and energy companies in areas like price forecasting, trading strategies and risk management.

Here you can find all my research papers:

h-index: 16 Average cites per publication: 100 Total cites: 2921 (source: ISI Web of Science)


  1. ``Can Machine Learning Help to Select Portfolios of Mutual Funds?'' (with A.V. DeMiguel, J. Gil-Bazo, and A.A.P. Santos). Submitted 2021.

  2. ``Clustering Electricity Consumers: Challenges and Applications for Operating Smart Grids' ' (with A.M. Alonso, E. Martín, A. Mateo, C. Ruiz, A. Veiga). IEEE Power and Energy Magazine, 20(3), pp 54-63. 2022.

  3. ``Hierarchical Clustering for Smart Meter Electricity Loads based on Quantile Autocovariances'' (with A.M. Alonso and C. Ruiz). IEEE Transactions on Smart Grid, 11(5), 4522-4530, 2020.

  4. ``A Single Scalable LSTM Model for Short-Term Forecasting of Disaggregated Electricity Loads'' (with A.M. Alonso and C. Ruiz). Energies, 13(20) 2020.

  5. ``A Stepwise Approach for High-Dimensional Gaussian Graphical Models'' (with G. Lafit, M. Ruiz and R. Zamar). Forthcoming in Journal of Data Science, Statistics, and Visualisation, 2020.

  6. ``Robust and Sparse Estimation of High-dimensional Precision Matrices via Bivariate Outlier Detection '' (with G. Lafit). Submitted 2020.

  7. ``A Transaction-Cost Perspective on the Multitude of Firm Characteristics '' (with A. Martin-Utrera, V. DeMiguel and R. Uppal). Review of Financial Studies, 33(5), 2180-2222, 2020.

  8. ``Portfolio Selection with Proportional Transaction Costs and Predictability'' (with X. Mei). Journal of Banking and Finance, 94, pp. 131-151, 2018.

  9. ``Retail Competition with Switching Consumers in Electricity Markets '' (with C. Ruiz and Francisco J. Prieto). Networks and Spatial Economics, 18(1), pp. 145-180, 2018.

  10. ``Combining Multivariate Volatility Forecasts: An Economic-Based Approach'' (with J. Caldeira, G. V. Moura and A. A. P. Santos). Journal of Financial Econometrics, 15(2), pp. 247-285, 2017

  11. ``D-trace Precision Matrix Estimation Using Adaptive Lasso Penalties'' (with V. Avagyan and A. Alonso). Advances in Data Analysis and Classification, 12(2), pp. 425-447, 2018.

  12. ``Improving the Graphical Lasso Estimation for the Precision Matrix Through Roots of the Sample Covariance Matrix'' (with V. Avagyan and A. Alonso). Journal of Computational and Graphical Statistics, 26(4), pp. 865-872, 2017.

  13. ``Multiperiod Portfolio Optimization with General Transaction Costs'' (with A. V. DeMiguel and X. Mei). Journal of Banking and Finance, 69, pp. 108-120, 2016.

  14. ``Parameter Uncertainty in Multiperiod Portfolio Optimization With Transaction Costs'' (with A. V. DeMiguel and A. Martin-Utrera). Journal of Financial and Quantitative Analysis, 50(6), pp. 1443-1471, 2015.

  15. ``Stock Return Serial Dependence and Out-of-Sample Portfolio Performance'' (with A. V. DeMiguel and R. Uppal). The Review of Financial Studies, 27(4), pp. 1031-1073, 2014.

  16. ``A Randomized Granular Tabu Search Heuristic for the Split Delivery Vehicle Routing Problem'' (with L. Berbotto and S. García). Annals of Operations Research, 222, pp. 153-173, 2014.

  17. ``Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection'' (with A. V. DeMiguel and A. Martin-Utrera). Journal of Banking and Finance, 37, pp. 3018-3034, 2013.

  18. ``Comparing univariate and multivariate models to forecast portfolio value-at-risk'' (with A. A. P. Santos and E. Ruíz). Journal of Financial Econometrics, 11(2), pp. 400-441, 2013.

  19. ``Optimal portfolios with minimum capital requirements'' (with A. A. P. Santos, E. Ruíz, and D. J. C. Van Dijk). Journal of Banking and Finance, 36(7), pp. 1928-1942, 2012.

  20. ``Electricity Pool Prices: Long-Term Uncertainty Characterization for Futures-Market Trading and Risk Management'' (with A. J. Conejo, M. Carrión, and J. M. Morales). Journal of the Operational Research Society, 61, pp. 235–245, 2010.

  21. ``A Generalized Approach to Portfolio Optimization: Improving Performance By Constraining Portfolio Norms'' (with V. DeMiguel, L. Garlappi, and R. Uppal). Management Science, 55(5), pp. 798-812, 2009. (Electronic Companion)

  22. ``Portfolio Selection with Robust Estimation'' (with V. DeMiguel). Operations Research, 57(3), pp. 560-577, 2009. (Electronic Companion)

  23. ``On Decomposition Methods for a Class of Partially Separable Nonlinear Programs'' (with V. DeMiguel). Mathematics of Operations Research, 33(1), pp. 119-139, 2008.

  24. ``Solving Dynamic Stochastic Economic Models by Mathematical Programming Decomposition Methods'' (with M. Esteban-Bravo). Computers & Operations Research, 35(1), pp. 226-240, 2008.

  25. ``Electricity Price Forecasting through Transfer Function Models'' (with A.J. Conejo). Journal of the Operational Research Society , 57, pp. 350-356, 2006.

  26. ``A two-sided relaxation scheme for Mathematical Programs with Equilibrium Constraints'' (with A.V. De Miguel, M. Friedlander and S. Scholtes). SIAM Journal on Optimization, 16(2), pp. 587-609, 2005.

  27. ``Risk-Constrained Self-Scheduling of a Thermal Power Producer'' (with A. Conejo, J.M. Arroyo and R. García-Bertrand). IEEE Transactions on Power Systems, Vol. 19, No. 3, pp. 1569-1574, Aug 2004.

  28. ``ARIMA Models to Predict Next-Day Electricity Prices'' (with J. Contreras, R. Espínola and A.J. Conejo). IEEE Transactions on Power Systems, Vol. 18, No. 3, pp. 1014-1020, Aug 2003.

  29. ``A Decomposition Methodology Applied to the Multi-Area Optimal Power Flow Problem'' (with A.J. Conejo and F.J. Prieto). Annals of Operations Research, Vol. 120, pp. 99-116, 2003.

  30. ``A Decomposition Procedure Based on Approximate Newton Directions'' (with A.J. Conejo and F.J. Prieto). Mathematical Programming, Ser. A, Vol. 93, No. 3, pp. 495-515, 2002.

  31. ``Price-Taker Bidding Strategy under Price Uncertainty'' (with A.J. Conejo and J.M. Arroyo). IEEE Transactions on Power Systems, Vol. 17, No. 4, pp. 1081-1088, Nov 2002.

  32. ``Forecasting Next-Day Electricity Prices by Time Series Models'' (with A.J. Conejo, J. Contreras and R. Espínola). IEEE Transactions on Power Systems, Vol. 17, No. 2, pp. 342-348, May 2002.