Search Results - "Valladao, Davi"

Time consistency and risk averse dynamic decision models: Definition, interpretation and practical consequences by Rudloff, Birgit, Street, Alexandre, Valladão, Davi M.

“…•An economic interpretation for the recursive time consistent objective function.•A new methodology to compute the sub-optimality gap of a time inconsistent…”
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Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns by Valladão, Davi, Silva, Thuener, Poggi, Marcus

“…Dynamic portfolio optimization has a vast literature exploring different simplifications by virtue of computational tractability of the problem. Previous works…”
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Assessing the Cost of Time-Inconsistent Operation Policies in Hydrothermal Power Systems by Brigatto, Arthur, Street, Alexandre, Valladao, Davi M.

“…The current state-of-the-art method used for medium- and long-term planning studies of hydrothermal power system operation is the stochastic dual dynamic…”
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A Novel Semiparametric Structural Model for Electricity Forward Curves by Dietze, Marina, Chavarry, Iago, Freire, Ana Carolina, Valladao, Davi, Street, Alexandre, Fleten, Stein-Erik

“…We propose a novel semi-parametric structural model to estimate the electricity forward curves based on elementary forward prices. The proposed model (i)…”
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PolieDRO: a novel classification and regression framework with non-parametric data-driven regularization by Gutierrez, Tomás, Valladão, Davi, Pagnoncelli, Bernardo K.

“…PolieDRO is a novel analytics framework for classification and regression that harnesses the power and flexibility of data-driven distributionally robust…”
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Co-Optimization of Energy and Ancillary Services for Hydrothermal Operation Planning Under a General Security Criterion by Street, Alexandre, Brigatto, Arthur, Valladao, Davi M.

“…One of the most used methods for long-term hydrothermal operation planning is the stochastic dual dynamic programming (SDDP). Using this method, the immediate…”
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An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets by Fernandes, Betina, Street, Alexandre, Valladão, Davi, Fernandes, Cristiano

“…•We provide a new perspective on robust portfolio optimization for its practical use.•We impose an intuitive loss constraint for the optimal portfolio…”
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Assessing the cost of the Hazard-Decision simplification in multistage stochastic hydrothermal scheduling by Street, Alexandre, Valladão, Davi, Lawson, André, Velloso, Alexandre

“…Hydropower is one of the world’s primary renewable energy sources whose usage has profound economic, environmental, and social impacts. We focus on the…”
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A data-driven approach for a class of stochastic dynamic optimization problems by Silva, Thuener, Valladão, Davi, Homem-de-Mello, Tito

“…Dynamic stochastic optimization models provide a powerful tool to represent sequential decision-making processes. Typically, these models use statistical…”
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Short-term Covid-19 forecast for latecomers by Medeiros, Marcelo C., Street, Alexandre, Valladão, Davi, Vasconcelos, Gabriel, Zilberman, Eduardo

“…The number of new Covid-19 cases is still high in several countries, despite vaccination efforts. A number of countries are experiencing new and severe waves…”
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Disentangling Shareholder Risk Aversion from Leverage-Dependent Borrowing Cost on Corporate Policies by Waga, Mateus, Valladão, Davi, Street, Alexandre, Silva, Thuener

“…We study the optimal corporate policy of a risk-averse shareholder under leverage-dependent borrowing costs and other financial frictions. The firm’s objective…”
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Assessing the Cost of Network Simplifications in Long-Term Hydrothermal Dispatch Planning Models by Rosemberg, Andrew W., Street, Alexandre, Garcia, Joaquim Dias, Valladao, Davi M., Silva, Thuener, Dowson, Oscar

“…The sustainable utilization of hydro energy relies on accurate estimates of the opportunity cost of the water. This value is calculated through long-term…”
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On an adaptive Black–Litterman investment strategy using conditional fundamentalist information: A Brazilian case study by Fernandes, Betina, Street, Alexandre, Fernandes, Cristiano, Valladão, Davi

“…•We implement an autoregressive model using PE ratio to predict 1-day ahead returns.•Our adaptive optimization model can capture conditional volatility of…”
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Can asset allocation limits determine portfolio risk–return profiles in DC pension schemes? by Gutierrez, Tomás, Pagnoncelli, Bernardo, Valladão, Davi, Cifuentes, Arturo

“…In defined contribution (DC) pension schemes, the regulator usually imposes asset allocation constraints (minimum and maximum limits by asset class) in order…”
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A stochastic optimization model for short-term production of offshore oil platforms with satellite wells using gas lift by Gamboa, Carlos, Silva, Thuener, Valladão, Davi, Pagnoncelli, Bernardo K., Homem-de-Mello, Tito, Vieira, Bruno, Teixeira, Alex

“…Continuous gas lift is a popular method to enhance productivity in offshore oil platforms. We propose a steady-state two-stage stochastic programming model to…”
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Assessing the value of natural gas underground storage in the Brazilian system via stochastic dual dynamic programming by Resende, Larissa de Oliveira, Valladão, Davi, Bezerra, Bernardo Vieira, Cyrillo, Yasmin Monteiro

“…The Brazilian natural gas sector is currently characterized by low maturity and dynamism of the market. The stochastic behavior of the demand for natural gas…”
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On the solution variability reduction of Stochastic Dual Dynamic Programming applied to energy planning by Soares, Murilo Pereira, Street, Alexandre, Valladão, Davi Michel

“…•SDDP is largely applied in hydrothermal operation planning, with its results impacting also market operations in Brazil.•This work aims at regularizing SDDP…”
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A multistage linear stochastic programming model for optimal corporate debt management by Valladão, Davi M., Veiga, Álvaro, Veiga, Geraldo

“…•Our model was implemented in practice by Petrobras to solve a realworld problem.•Corporate debt management SP model to handle multiplicity of bond…”
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Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints by Duarte, Thiago B., Valladão, Davi M., Veiga, Álvaro

“…Open private pension schemes are subject to risk-based regulation. In this context, asset and liability management (ALM) frameworks for pension plan operators…”
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A Linear Stochastic Programming Model for Optimal Leveraged Portfolio Selection by Michel Valladão, Davi, Veiga, Álvaro, Street, Alexandre

“…The literature of portfolio optimization is extensive and covers several important aspects of the asset allocation problem. However, previous works consider…”
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