Current research
In collaboration with Professor Mauricio Junca, I am investigating a distributionally robust approach applicable to general contexts where the objective function may differ from an expected value. Additionally, we explore portfolio optimization problems using the Wasserstein distance. Our focus is on the mean-variance model and the chance constraint optimization approach.
Publications
Submitted
Decision-dependent Distributionally Robust Optimization, Joint work with Mauricio Junca. Submitted to Operations Research Letters. (2023) [Link to Arxiv preprint]
Wasserstein Distributionally Robust Optimization with Expected Value Constraints, Joint work with Mauricio Junca. Submitted to Computers and Operations Research. (2023) [Link to Arxiv preprint]
Preprints
Mode estimation via Optimal Transport metric. Joint work with Mauricio Junca and Marco Avella. (2022) [Link to preprint]
Presentations, Proceedings, and Talks
2018 Data-driven distributionally robust optimization applied to probability density estimation and portfolio optimization,
Poster session presented at IX PanAmerican Workshop in applied mathematics and computational science, Varadero, Cuba, July 2018. [poster] [Conference]
2018 Data-driven Robust Distributional Optimization applied to the estimation of probability density functions and portfolio optimization,
Talk at Primer Congreso Colombiano de Matemáticas Aplicadas e Industriales (MAPI-1), Bogotá, Colombia, August 2018. [slides] [Conference]
2019 Data-driven distributionally robust optimization applied to portfolio optimization,
Talk at Third International Congress on Actuarial Science and Quantitative Finance, Manizales, Colombia, July 2019. [slides] [Conference]
2022 Mode estimation applied to clustering and scenario reduction via Optimal Transport metric,
Talk at Segundo Congreso Colombiano de Matemáticas Aplicadas e Industriales (MAPI-2), Bogotá, Colombia, June 2022. [slides] [Conference]
2023 Probability minimization using Decision-Dependent Distributionally Robust Optimization,
Poster at Latin American Congress of Probability and Mathematical Statistics (XVI CLAPEM), São Paulo, Brazil, July 2023. [poster] [Conference]
Theses
Master Thesis (2018). [PDF]