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Tiago Pascoal Filomena · Study

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Tiago Pascoal Filomena

9 works· latest 2022· 2 institutionscluster: provisionalORCID 0000-0002-0447-3142

h-index9

i109

Citations268

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Most cited in this library

Target costing operationalization during product development: Model and application2008 · 53 citations
Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming2016 · 49 citations
Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection2016 · 31 citations
Lasso-based index tracking and statistical arbitrage long-short strategies2019 · 29 citations
Warm-Start Heuristic for Stochastic Portfolio Optimization with Fixed and Proportional Transaction Costs2013 · 26 citations

Works

9 shown

Application of the VNS heuristic for feature selection in credit scoring problems

Machine Learning with Applications·2022·4 authors·Open access

13citations

Lasso-based index tracking and statistical arbitrage long-short strategies

The North American Journal of Economics and Finance·2019·3 authors·Open access

29citations

Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection

The Quarterly Review of Economics and Finance·2016·3 authors·other

31citations

A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry

Optimization and Engineering·2016·5 authors·Open access

24citations

Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming

Annals of Operations Research·2016·4 authors·other

49citations

Warm-Start Heuristic for Stochastic Portfolio Optimization with Fixed and Proportional Transaction Costs

Journal of Optimization Theory and Applications·2013·2 authors

26citations

Stochastic portfolio optimization with proportional transaction costs: Convex reformulations and computational experiments

Operations Research Letters·2012·2 authors

25citations

Manufacturing feature-based cost management system: a case study in Brazil

Production Planning & Control·2011·5 authors

18citations

Target costing operationalization during product development: Model and application

International Journal of Production Economics·2008·3 authors

53citations