Davi Michel Valladão

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Robust portfolio optimization meets arbitrage pricing theory European Journal of Operational Research	2025-10-06	Paper
Two-Stage Data-Driven Contextual Robust Optimization: An End-to-End Learning Approach for Online Energy Applications (available as arXiv preprint)	2025-01-01	Paper
On a conservative partition refinement (CPR) method for a class of two-stage stochastic programming problems Optimization Letters	2022-11-01	Paper
Decomposition methods for Wasserstein-based data-driven distributionally robust problems Operations Research Letters	2021-12-13	Paper
A data-driven approach for a class of stochastic dynamic optimization problems Computational Optimization and Applications	2021-12-08	Paper
Assessing the value of natural gas underground storage in the Brazilian system via stochastic dual dynamic programming Top	2021-05-05	Paper
Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns Annals of Operations Research	2020-01-20	Paper
Can asset allocation limits determine portfolio risk-return profiles in DC pension schemes? Insurance Mathematics & Economics	2019-05-23	Paper
On the solution variability reduction of stochastic dual dynamic programming applied to energy planning European Journal of Operational Research	2018-05-25	Paper
An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets European Journal of Operational Research	2018-05-24	Paper
Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints Insurance Mathematics & Economics	2017-11-23	Paper
A multistage linear stochastic programming model for optimal corporate debt management European Journal of Operational Research	2015-02-04	Paper
Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences European Journal of Operational Research	2015-02-03	Paper

Research outcomes over time

This page was built for person: Davi Michel Valladão