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1

Demystifying Credit Risk Derivatives and Securitization: Introducing the Basic Ideas to Undergraduates

Cifuentes, Arturo, Pagnoncelli, Bernardo K

Journal:

The Journal of Derivatives

Year:

2014

Language:

english

File:

PDF, 534 KB

english, 2014

2

Can asset allocation limits determine portfolio risk–return profiles in DC pension schemes?

Gutierrez, Tomás, Pagnoncelli, Bernardo, Valladão, Davi, Cifuentes, Arturo

Journal:

Insurance: Mathematics and Economics

Year:

2019

Language:

english

File:

PDF, 2.40 MB

english, 2019

3

Credit risk assessment of fixed income portfolios using explicit expressions

Pagnoncelli, Bernardo K., Cifuentes, Arturo

Journal:

Finance Research Letters

Year:

2014

Language:

english

File:

PDF, 334 KB

english, 2014

4

A risk averse approach to the capacity allocation problem in the airline cargo industry

Wada, Masato, Delgado, Felipe, Pagnoncelli, Bernardo K.

Journal:

Journal of the Operational Research Society

Year:

2017

Language:

english

File:

PDF, 342 KB

english, 2017

5

A two-step hybrid investment strategy for pension funds

Pagnoncelli, Bernardo K., Cifuentes, Arturo, Denis, Gabriela

Journal:

The North American Journal of Economics and Finance

Year:

2017

Language:

english

File:

PDF, 336 KB

english, 2017

6

Scenario reduction for stochastic programs with Conditional Value-at-Risk

Arpón, Sebastián, Homem-de-Mello, Tito, Pagnoncelli, Bernardo

Journal:

Mathematical Programming

Year:

2018

Language:

english

File:

PDF, 913 KB

english, 2018

7

Laneâs Algorithm Revisited

Goycoolea, Marcos, Lamas, Patricio, Pagnoncelli, Bernardo K., Piazza, Adriana

Journal:

Management Science

Year:

2020

File:

PDF, 947 KB

2020

8

A provisioning problem with stochastic payments

Bernardo K. Pagnoncelli, Steven Vanduffel

Journal:

European Journal of Operational Research

Year:

2012

Language:

english

File:

PDF, 276 KB

english, 2012

9

The optimal harvesting problem under price uncertainty

Piazza, Adriana, Pagnoncelli, Bernardo K.

Journal:

Annals of Operations Research

Year:

2014

Language:

english

File:

PDF, 457 KB

english, 2014

10

Risk aversion in multistage stochastic programming: A modeling and algorithmic perspective

Homem-de-Mello, Tito, Pagnoncelli, Bernardo K.

Journal:

European Journal of Operational Research

Year:

2015

Language:

english

File:

PDF, 1.42 MB

english, 2015

11

The stochastic Mitra–Wan forestry model: risk neutral and risk averse cases

Piazza, Adriana, Pagnoncelli, Bernardo K.

Journal:

Journal of Economics

Year:

2015

Language:

english

File:

PDF, 337 KB

english, 2015

12

Chance-constrained problems and rare events: an importance sampling approach

Barrera, Javiera, Homem-de-Mello, Tito, Moreno, Eduardo, Pagnoncelli, Bernardo K., Canessa, Gianpiero

Journal:

Mathematical Programming

Year:

2016

Language:

english

File:

PDF, 2.22 MB

english, 2016

13

The optimal harvesting problem under price uncertainty: the risk averse case

Pagnoncelli, Bernardo K., Piazza, Adriana

Journal:

Annals of Operations Research

Year:

2015

Language:

english

File:

PDF, 731 KB

english, 2015

14

Cournot equilibrium: modern techniques applied to an old problem

Pagnoncelli, Bernardo K., Schnoor, Miguel A. K., Palmeira, Carlos F. B., Cayres, Rafael

Journal:

Journal of Interdisciplinary Mathematics

Year:

2008

Language:

english

File:

PDF, 364 KB

english, 2008

15

Credit-Risk Behavior of Homogeneous Portfolios: A Theoretical Result with Surprising Practical Implications

Pagnoncelli, Bernardo K, Hawas, Francisco, Cifuentes, Arturo

Journal:

The Journal of Structured Finance

Year:

2016

Language:

english

File:

PDF, 712 KB

english, 2016

16

Designing coalition-based fair and stable pricing mechanisms under private information on consumers’ reservation prices

Le Cadre, Hélène, Pagnoncelli, Bernardo, Homem-de-Mello, Tito, Beaude, Olivier

Journal:

European Journal of Operational Research

Year:

2018

Language:

english

File:

PDF, 3.60 MB

english, 2018

17

Can Asset Allocation Limits Determine Portfolio Risk-Return Profiles in DC Pension Schemes?

Gutierrez, Tomás, Pagnoncelli, Bernardo, Valladão, Davi, Cifuentes, Arturo

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 1.04 MB

english, 2018

18

Can asset allocation limits determine portfolio risk–return profiles in DC pension schemes?

Gutierrez, Tomás, Pagnoncelli, Bernardo, Valladão, Davi, Cifuentes, Arturo

Journal:

Insurance: Mathematics and Economics

Year:

2019

File:

PDF, 2.40 MB

2019

19

Better management of production incidents in mining using multistage stochastic optimization

Reus, Lorenzo, Pagnoncelli, Bernardo, Armstrong, Margaret

Journal:

Resources Policy

Year:

2019

Language:

english

File:

PDF, 1.05 MB

english, 2019

20

Better management of production incidents in mining using multistage stochastic optimization

Reus, Lorenzo, Pagnoncelli, Bernardo, Armstrong, Margaret

Journal:

Resources Policy

Year:

2019

File:

PDF, 1.05 MB

2019

21

An ADMM algorithm for two-stage stochastic programming problems

Arpón, Sebastián, Homem-de-Mello, Tito, Pagnoncelli, Bernardo K.

Journal:

Annals of Operations Research

Year:

2019

Language:

english

File:

PDF, 1.96 MB

english, 2019

22

An ADMM algorithm for two-stage stochastic programming problems

Arpón, Sebastián, Homem-de-Mello, Tito, Pagnoncelli, Bernardo K.

Journal:

Annals of Operations Research

Year:

2019

File:

PDF, 1.96 MB

2019

23

A stochastic optimization model for short-term production of offshore oil platforms with satellite wells using gas lift

Gamboa, Carlos, Silva, Thuener, ValladÃ£o, Davi, Pagnoncelli, Bernardo K., Homem-de-Mello, Tito, Vieira, Bruno, Teixeira, Alex

Journal:

Year:

2020

Language:

english

File:

PDF, 2.10 MB

english, 2020

24

The risk-averse ultimate pit problem

Canessa, Gianpiero, Moreno, Eduardo, Pagnoncelli, Bernardo K.

Journal:

Optimization and Engineering

Year:

2020

File:

PDF, 1.98 MB

2020

25

The effect of regularization in portfolio selection problems

Pagnoncelli, Bernardo K., del Canto, Felipe, Cifuentes, Arturo

Journal:

Year:

2020

File:

PDF, 1.37 MB

2020

26

How good are default investment policies in defined contribution pension plans?

Duque, Daniel, Morton, David P., Pagnoncelli, Bernardo K.

Journal:

Journal of Pension Economics and Finance

Year:

2020

File:

PDF, 863 KB

2020

27

Facial Nerve Palsy Associated With Orthognathic Surgery

Bisatto, NatÃ¡lia Valduga, Andriola, Fernando de Oliveira, Barreiro, Bernardo Ottoni Braga, Maahs, Thomas Peter, Pagnoncelli, RogÃ©rio Miranda, Fritscher, Guilherme Genehr

Journal:

Journal of Craniofacial Surgery

Year:

2020

File:

PDF, 309 KB

2020

28

Partially observable multistage stochastic programming

Dowson, Oscar, Morton, David P., Pagnoncelli, Bernardo K.

Journal:

Operations Research Letters

Year:

2020

File:

PDF, 703 KB

2020