Davi Michel Valladão
Davi Michel Valladão
LAMPS PUC-Rio, Industrial Engineering - PUC-Rio
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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
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
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
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
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
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
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, 379-405, 2019
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
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
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
Short-term Covid-19 forecast for latecomers
MC Medeiros, A Street, D Valladão, G Vasconcelos, E Zilberman
International journal of forecasting 38 (2), 467-488, 2022
Decomposition methods for Wasserstein-based data-driven distributionally robust problems
CA Gamboa, DM Valladão, A Street, T Homem-de-Mello
Operations Research Letters 49 (5), 696-702, 2021
Assessing the cost of network simplifications in long-term hydrothermal dispatch planning models
AW Rosemberg, A Street, JD Garcia, DM Valladão, T Silva, O Dowson
IEEE Transactions on Sustainable Energy 13 (1), 196-206, 2021
Assessing the cost of the hazard-decision simplification in multistage stochastic hydrothermal scheduling
A Street, D Valladao, A Lawson, A Velloso
Applied Energy 280, 115939, 2020
Can asset allocation limits determine portfolio risk–return profiles in DC pension schemes?
T Gutierrez, B Pagnoncelli, D Valladão, A Cifuentes
Insurance: Mathematics and Economics 86, 134-144, 2019
A linear stochastic programming model for optimal leveraged portfolio selection
D Michel Valladão, Á Veiga, A Street
Computational Economics 51, 1021-1032, 2018
Technical and economical aspects of wholesale electricity markets: An international comparison and main contributions for improvements in Brazil
L Ribeiro, A Street, D Valladão, AC Freire, L Barroso
Electric Power Systems Research 220, 109364, 2023
A data-driven approach for a class of stochastic dynamic optimization problems
T Silva, D Valladão, T Homem-de-Mello
Computational Optimization and Applications 80, 687-729, 2021
A novel semiparametric structural model for electricity forward curves
M Dietze, I Chávarry, AC Freire, D Valladão, A Street, SE Fleten
IEEE Transactions on Power Systems 38 (4), 3268-3278, 2022
Optimum allocation and risk measure in an asset-liability management model for a pension fund via multistage stochastic programming and bootstrap
DM Valladao, A Veiga
International Conference on Engineering Optimization, 2008
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