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Tiago P. Filomena, Ph.D.

Affiliations: 
2010 Engineering Mgt and Systems Engineering The George Washington University, Washington, DC, United States 
Area:
Operations Research, Energy, System Science Engineering
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"Tiago Filomena"
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Enrique Campos-Nanez grad student 2010 The George Washington University
 (Technology portfolio and capacity expansion under uncertainty.)

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Publications

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Sant’Anna LR, Caldeira JF, Filomena TP. (2020) Lasso-based index tracking and statistical arbitrage long-short strategies The North American Journal of Economics and Finance. 51: 101055
Oliveira ADd, Filomena TP. (2020) Compacting multistage stochastic programming models through a new implicit extensive framework Journal of Computational Science. 43: 101128
Perlin M, Righi MB, Filomena TP. (2019) A Consumer Credit Risk Structural Model Based on Affordability: Balance at Risk Journal of Credit Risk. 15: 1-19
Sant'Anna LR, Oliveira ADd, Filomena TP, et al. (2019) Solving the index tracking problem based on a convex reformulation for cointegration Finance Research Letters. 101356
Vieira EBF, Filomena TP. (2019) Liquidity Constraints for Portfolio Selection Based on Financial Volume Computational Economics. 1-23
Andriotti RF, Filomena TP, Neto FJK, et al. (2018) A cost management system for Information Technology Biotechnologie, Agronomie, SociéTé Et Environnement. 15: 264-274
Oliveira ADd, Filomena TP, Righi MB. (2018) Performance Comparison Of Scenario-Generation Methods Applied To A Stochastic Optimization Asset-Liability Management Model Pesquisa Operacional. 38: 53-72
de Oliveira AD, Filomena TP, Perlin MS, et al. (2016) A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry Optimization and Engineering. 1-20
Sant’Anna LR, Filomena TP, Guedes PC, et al. (2016) Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming Annals of Operations Research. 1-19
Pereira GM, Sant'Anna LR, Filomena TP, et al. (2015) Liquidity Constraint for Portfolio Selection Models Brazilian Review of Finance. 13: 288-324
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