Davi Michel Valladão
Davi Michel Valladão
Industrial Engineering Department, Pontifical Catholic University of Rio de Janeiro (PUC-Rio)
Verified email at puc-rio.br - Homepage
Title
Cited by
Cited by
Year
Time consistency and risk averse dynamic decision models: Definition, interpretation and practical consequences
B Rudloff, A Street, DM Valladão
European Journal of Operational Research 234 (3), 743-750, 2014
85*2014
An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
B Fernandes, A Street, D Valladão, C Fernandes
European Journal of Operational Research 255 (3), 961-970, 2016
262016
On the solution variability reduction of stochastic dual dynamic programming applied to energy planning
MP Soares, A Street, DM Valladão
European Journal of Operational Research 258 (2), 743-760, 2017
222017
Assessing the cost of time-inconsistent operation policies in hydrothermal power systems
A Brigatto, A Street, DM Valladão
IEEE Transactions on Power Systems 32 (6), 4541-4550, 2017
192017
A multistage linear stochastic programming model for optimal corporate debt management
DM Valladão, Á Veiga, G Veiga
European Journal of Operational Research 237 (1), 303-311, 2014
192014
Co-optimization of energy and ancillary services for hydrothermal operation planning under a general security criterion
A Street, A Brigatto, DM Valladão
IEEE Transactions on Power Systems 32 (6), 4914-4923, 2017
182017
On The Stochastic Response Surface Methodology For The Determination Of The Development Plan Of An Oil & Gas Field
DM Valladao, RR Torrado, S Embid, B Flach
SPE Middle East Intelligent Energy Conference and Exhibition, 2013
142013
Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
D Valladão, T Silva, M Poggi
Annals of Operations Research 282 (1), 379-405, 2019
13*2019
Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints
TB Duarte, DM Valladão, Á Veiga
Insurance: Mathematics and Economics 77, 177-188, 2017
132017
On an adaptive Black–Litterman investment strategy using conditional fundamentalist information: A Brazilian case study
B Fernandes, A Street, C Fernandes, D Valladão
Finance Research Letters 27, 201-207, 2018
52018
A linear stochastic programming model for optimal leveraged portfolio selection
DM Valladão, Á Veiga, A Street
Computational Economics 51 (4), 1021-1032, 2018
52018
Short-Term Covid-19 Forecast for Latecomers
M Medeiros, A Street, D Valladão, G Vasconcelos, E Zilberman
arXiv preprint arXiv:2004.07977, 2020
42020
Alocaçao ótima e medida de risco de um ALM para fundo de pensao via programaçao estocástica multi-estágio e bootstrap
DM Valladão
PUC-Rio, 2008
42008
Optimum Allocation and Risk Measure in an Asset Liability Management Model for a Pension Fund Via Multistage Stochastic Programming and Bootstrap
DM Valladao, Á Veiga
International Conference on Engineering Optimization, 2008
4*2008
On the Solution of Decision-Hazard Multistage Stochastic Hydrothermal Scheduling Problems
A Street, A Lawson, D Valladao, A Velloso
Optimization Online 8, 2018
32018
Field development plan selection system, method and program product
SME Droz, RR Torrado, MA Hegazy, DE Ciaurri, BDC Flach, UT Mello, ...
US Patent 10,689,965, 2020
12020
A stochastic optimization model for short-term production of offshore oil platforms with satellite wells using gas lift
C Gamboa, T Silva, D Valladão, BK Pagnoncelli, T Homem-de-Mello, ...
Top, 1-26, 2020
12020
Valuation of a crude oil refinery in Brazil under a real options approach
C de Castro Lopes, FF Blank, DM Valladão
International Conference on Production and Operations Management Society …, 2018
12018
System, method and program product for automatically matching new members of a population with analogous members
MA Hegazy, SME Droz, HM Rodriguez, BDC Flach, DM Valladao, ...
US Patent 9,417,256, 2016
12016
Assessing the cost of the Hazard-Decision simplification in multistage stochastic hydrothermal scheduling
A Street, D Valladão, A Lawson, A Velloso
Applied Energy 280, 115939, 2020
2020
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Articles 1–20