Projects per year
Personal profile
Research Interests
Applied Financial Engineering: Asset Allocation, Risk Management, Arbitrage in Currency and Derivative Markets. Applied Stochastic Optimization in Mining and Energy.
Key Words
Financial Engineering, Asset Allocation, Risk Management, Stochastic Programming.
Profession
Bachelor of Science, Industrial Engineering, Universidad de Chile 2006
Education/Academic qualification
PhD, Princeton University
Award Date: 21 Sep 2013
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Dive into the research topics where Lorenzo Reus is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
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Collaborations and top research areas from the last five years
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
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1231660: Understanding Information Effects on Market Activity, and Market Activity Effects on Information
Reus, L. (Co-Investigator)
Agencia Nacional de Investigación y Desarrollo
1/04/23 → 1/04/27
Project: Research
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Two Extensions to Portfolio Optimization Theory: Asset Allocation Effects when Investors are not Price Takers and a new Methodology to Improve Allocations based on Robust Optimization.
Reus, L. (Principal Investigator)
Comisión Nacional de Investigación Científica y Tecnológica
15/11/17 → 31/10/20
Project: Research
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IT16M100006: Tecnologías de optimización en gestión de proyectos para la resolución de problemas de planificación minera estratégica
Moreno, E. (Director) & Reus, L. (Principal Investigator)
Comisión Nacional de Investigación Científica y Tecnológica
1/11/16 → 18/11/18
Project: Research
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Merton portfolio allocation under stochastic dividends
Reus, L., 2024, (Accepted/In press) In: Optimization Letters.Research output: Contribution to journal › Article › peer-review
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The integral of the squared Gaussian process
Reus, L., Feb 2024, In: Chaos, Solitons and Fractals. 179, 114417.Research output: Contribution to journal › Article › peer-review
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Foreign exchange trading and management with the stochastic dual dynamic programming method
Reus, L. & Sepúlveda-Hurtado, G. A., Dec 2023, In: Financial Innovation. 9, 1, 23.Research output: Contribution to journal › Article › peer-review
Open Access2 Scopus citations -
Need to Meet Investment Goals? Track Synthetic Indexes with the SDDP Method
Reus, L. & Prado, R., Jun 2022, In: Computational Economics. 60, 1, p. 47-69 23 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Speculative bubbles under supply constraints, background risk and investment fraud in the art market
Bernales, A., Reus, L. & Valdenegro, V., Dec 2022, In: Journal of Corporate Finance. 77, 101746.Research output: Contribution to journal › Article › peer-review
4 Scopus citations