Tiago Pascoal Filomena, Ph.D.

Tiago Pascoal Filomena, Ph.D.

Associate Professor of Operations Research and Finance

Federal University of Rio Grande do Sul, Brazil

Education:

Ph.D. - George Washington University, 2010 - Engineering

M.Sc. - Federal University of Rio Grande do Sul, Brazil, 2004 - Industrial Engineering

B.Sc. - Federal University of Rio Grande do Sul, Brazil, 2002 - Civil Engineering

E-mail: tpfilomena@ea.ufrgs.br

Research: Operations Research applied to Finance (Stochastic programming, non-linear programming, game theory, simulation, stochastic differencial equations, data mining...)

Applications: portfolio optimization, asset-liability management, industrial investment, pricing and others.

Publications

HELDER, V. ; FILOMENA, T.; FERREIRA, L.; KIRCH, G. Application of the VNS heuristic for feature selection in credit scoring problems. Machine Learning with Applications, Forthcoming 2022.

VIEIRA, E.; FILOMENA, T.; SANTANNA, L.; LEJEUNE, M. Liquidity-constrained index tracking optimization models. Annals of Operations Research, Forthcoming, 2021.

BUBICZ, E.; FILOMENA, T.; SANTANNA, L.; VIEIRA, E. Rebalancing index tracking portfolios with cumulative sum (CUSUM) control charts. Engineering Economist, p. 319-345, 2021.

WORMUTH, B.; WANG, S.; DEHGHANIAN, P.; BARATI, M.; ESTEBSARI, A.; FILOMENA, T.; KAPOURCHALI, M.; LEJEUNE, M. Electric Power Grids Under High-Absenteeism Pandemics: History, Context, Response, and Opportunities. IEEE Access, v. 8, p. 215727-215747, 2020.

VIEIRA, E.; FILOMENA, T. Liquidity constraints for portfolio selection based on financial volume. Computational Economics, v. 56, p. 1055-1077, 2020.

DE OLIVEIRA, A.D. ; FILOMENA, T. P. Compacting multistage stochastic programming models through a new implicit extensive framework. Journal of Computational Science, , v. 43, p. 101128, 2020. .

SANTANNA, L.; CALDEIRA, J.;FILOMENA, T. Lasso-based index tracking and statistical arbitrage long-short strategies. North American Journal of Economics and Finance, v. 51, p. 101055, 2020.

SANTANNA, L.; OLIVEIRA, A.; FILOMENA, T; CALDEIRA, J.. Solving the Index Tracking Problem Based on a Convex Reformulation for Cointegration. Finance Research Letters, v. 37, p. 101356, 2019.

SANTANNA, L.;FILOMENA, T.; CALDEIRA, J.; BORENSTEIN, D. Investigating the Use of Statistical Process Control Charts for Index Tracking Portfolios, Journal of the Operational Research Society, v. 70, p. 1622-1638, 2019.

PERLIN, M. S.; BRUTTI, M. ; FILOMENA, T. A Consumer Credit Risk Structural Model based on Affordability: Balance at Risk. Journal of Credit Risk, v. 15, p. 1-19, 2019.

DE OLIVEIRA, A.D. ; FILOMENA, T. P. ; RIGHI, M. B. . Performance comparison of scenario-generation methods applied to asset-liability management model. Pesquisa Operacional, v. 38, p. 53-72, 2018.

SANTANNA, L. ; FILOMENA, T. P. ; CALDEIRA, J. . Index Tracking and Enhanced Indexing using Cointegration and Correlation with Endogenous Portfolio Selection. The Quarterly Review of Economics and Finance, v. 65, p. 146-157, 2017.

SANTANNA, L. ; FILOMENA, T. P. ; BORENSTEIN, D. ; GUEDES, P. . Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming. Annals of Operations Research, v. 258, p. 449-867, 2017.

SOUZA, P.; FILOMENA, T.; CALDEIRA, J.; BORENSTEIN, D.; RIGHI, M. Risk parity in the Brazilian market, Economics Bulletin, v. 37, p. 1555-1566, 2017.

DE OLIVEIRA, A. D.; FILOMENA, T. P.; PERLIN, M.; LEJEUNE, M.; MACEDO, G. A. Multistage Stochastic Programming Asset-Liability Management Model - An Application to the Brazilian Pension Fund Industry. Optimization and Engineering, v. 18, p. 349-368, 2017.

FILOMENA, T.P.; CAMPOS-NÁÑEZ, E. ; Duffey, M. Technology selection and capacity investment under uncertainty. European Journal of Operational Research, v. 232, p. 125-136, 2014.

FILOMENA, T.P.; Lejeune, M. arm-Start Heuristic for Stochastic Portfolio Optimization with Fixed and Proportional Transaction Costs. Journal of Optimization Theory and Applications, v. 161, p. 308-329, 2014.

FILOMENA, T.P.; Lejeune, M. Stochastic portfolio optimization with proportional transaction costs: Convex reformulations and computational experiments. Operations Research Letters, v. 40, p. 212-217, 2012.

SOUZA, J.S. ; KLIEMANN, F. J. ; ANZANELLO, M. J. ; FILOMENA, T.P. . A non-traditional capital investment criteria-based method to portfolio optmization. International Journal of Industrial Engineering, v. 19, p. 193-203, 2012.

FILOMENA, T.P.; ANZANELLO, M. J. ; KLIEMANN, F.J. ; DUFFEY, M. R. ; CAMPOS-NANEZ, E. . Manufacturing Featured-Based Cost Management System: a case study in Brazil. Production Planning & Control, v. 22, p. 414-425, 2011.

FILOMENA, T.P.; KLIEMANN, F.J.; Duffey, M.R. Target costing operationalization during product development: Model and application. International Journal of Production Economics, v. 118, p. 398-409, 2009.

Publications in Portuguese

PEREIRA, G.M. ; SANTANNA, L. ; FILOMENA, T.P. ; BECKER, J.L. . Restrição de liquidez para modelos de seleção de carteiras. Revista Brasileira de Finanças, v. 13, p. 288-324, 2015.

SANTANNA, L. ; FILOMENA, T. P. ; BORENSTEIN, D. . Index Tracking com Controle do Número de Ativos. Revista Brasileira de Finanças (Impresso), v. 12, p. 89-119, 2014.

HOELTGEBAUM, H.H. ; FILOMENA, T.P. ; BORENSTEIN, D. ; LEJEUNE, M. ; ZIEGELMANN, F.A. Desempenho do modelo estocástico de média-variância para o mercado brasileiro de ações. Produto & Produção, v. 13, p. 63-73, 2012.

FILOMENA, T.P.; MOURA, M. . Real Options as a Tool to Hedge Technological Convergence Risks in the American Ethanol Industry - A Preliminary Investigation. Produto & Produção, v. 11, p. 59-68, 2010.