Davi Michel Valladão

14 papers Journal 14
YearRankTypeTitle / Venue / Authors
2025 J jnl
Robust portfolio optimization meets Arbitrage Pricing Theory.
Eur. J. Oper. Res.
Mateus Waga, Davi Michel Valladão, Alexandre Street
2024 J jnl
Assessing the Optimistic Bias in the Natural Inflow Forecasts: A Call for Model Monitoring in Brazil.
CoRR
Arthur Brigatto, Alexandre Street, Cristiano Fernandes, Davi Michel Valladão, Guilherme Bodin, Joaquim Dias Garcia
2024 J jnl
PolieDRO: a novel classification and regression framework with non-parametric data-driven regularization.
Mach. Learn.
Tomás Gutierrez, Davi Michel Valladão, Bernardo K. Pagnoncelli
2024 J jnl
Time Series Analysis by State Space Learning.
CoRR
André Ramos, Davi Michel Valladão, Alexandre Street
2024 J jnl
Two-Stage ML-Guided Decision Rules for Sequential Decision Making under Uncertainty.
CoRR
Andrew W. Rosemberg, Alexandre Street, Davi Michel Valladão, Pascal Van Hentenryck
2022 J jnl
On a conservative partition refinement (CPR) method for a class of two-stage stochastic programming problems.
Optim. Lett.
Carlos Andrés Gamboa, Davi Michel Valladão, Alexandre Street
2021 J jnl
A data-driven approach for a class of stochastic dynamic optimization problems.
Comput. Optim. Appl.
Thuener Silva, Davi Michel Valladão, Tito Homem-de-Mello
2021 J jnl
Assessing the Cost of Network Simplifications in Long-Term Hydrothermal Dispatch Planning Models.
CoRR
Andrew W. Rosemberg, Alexandre Street, Joaquim Dias Garcia, Davi Michel Valladão, Thuener Silva, Oscar Dowson
2021 J jnl
Decomposition methods for Wasserstein-based data-driven distributionally robust problems.
Oper. Res. Lett.
Carlos Andrés Gamboa, Davi Michel Valladão, Alexandre Street, Tito Homem-de-Mello
2019 J jnl
Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns.
Ann. Oper. Res.
Davi Michel Valladão, Thuener Silva, Marcus Poggi
2017 J jnl
On the solution variability reduction of Stochastic Dual Dynamic Programming applied to energy planning.
Eur. J. Oper. Res.
Murilo Pereira Soares, Alexandre Street, Davi Michel Valladão
2016 J jnl
An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets.
Eur. J. Oper. Res.
Betina Fernandes, Alexandre Street, Davi Michel Valladão, Cristiano Fernandes
2014 J jnl
A multistage linear stochastic programming model for optimal corporate debt management.
Eur. J. Oper. Res.
Davi Michel Valladão, Álvaro Veiga, Geraldo Veiga
2014 J jnl
Time consistency and risk averse dynamic decision models: Definition, interpretation and practical consequences.
Eur. J. Oper. Res.
Birgit Rudloff, Alexandre Street, Davi Michel Valladão