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Bernardo Pagnoncelli Kulnig

Associate Professor

Universidad Adolfo Ibáñez

Santiago, Chile

My research is in the field of decision making under uncertainty. I study theory and algorithms of optimization problems in which some of the parameters are unknown. Applications: pension funds, natural resources, energy and transportation

Mathematics, Pontifícia Universidade Católica do Rio de Janeiro. Brasil, 2009
Mathematics, Pontifícia Universidade Católica do Rio de Janeiro. Brasil, 2004
Mathematics, Pontifícia Universidade Católica do Rio de Janeiro. Brasil, 2002

Assistant Professor Full Time

Universidad Adolfo Ibáñez

Santiago, Chile

2009 - 2015
Associate Professor Full Time

UNIVERSIDAD ADOLFO IBANEZ

Santiago, Chile

2015 - At present

Assistant Professor Full Time

Universidad Adolfo Ibáñez

Santiago, Chile

2009 - At present

Current students:

Patricio Lamas, Ph.D. in Industrial Engineering and Operations Research. UAI, Chile. Expected graduation: 2020 (co-guided with Marcos Goycoolea).
Tomás Gutierrez, Ph.D. in Industrial Engineering. PUC-Rio, Brazil. Expected graduation: 2022 (co-guided with Davi Valladão).
Domingo Ramírez, collaborator in the project "Pension fund calculator''

Past Students

Gianpiero Canessa, Ph.D. in Industrial Engineering and Operations Research. ``Static risk-averse models with applications to mining''. UAI, Chile. 2019. First position: Post-doc at KTH Sweden, Mathematics Department.
Hans Schlechter. Research Assistant in my Fondecyt Grant 1170178, 2018-2019. First position: Ministry of Labor, Chile.
Tomás Gutierrez, M.Sc. in Industrial Engineering. "Can Asset Allocation Limits Determine Portfolio Risk-Return Profiles in DC Pension Schemes?'' PUC-Rio, Brazil. 2019 (co-guided with Davi Valladão). First position: Ph.D. Student at PUC-Rio, Brazil.
Sebastian Arpon, Ph.D. in Management. "Tractable Scenario Approximations and Decomposition Techniques to Solve Two Stage Stochastic Programming Problems and Applications in Energy'', 2018 (co-directed with Tito Homem-de-Mello). First position: Chief Data Scientist, Matrix, Santiago, Chile.
Javier García. M.Sc. in Financial Engineering. "Life-cycle problems solved using Stochastic Dual Dynamic Programming (SDDP)'', 2016
(co-directed with Tito Homem-de-Mello and Pablo Castañeda). First position: Financial Business Analyst, Soprole, Santiago, Chile.
Ricardo Trincado. External collaborator in his master thesis, 2016 (Advisor: Felipe Delgado). First position: Senior Associate Consultant, Bain \& Company, Chile.
Masato Wada. External collaborator in his master thesis, 2015 (Advisor: Felipe Delgado). First position: Senior project engineer, Miebach Consulting, Santiago, Chile.
Felipe Del Canto. Research Assistant in my Fondecyt Grant 1170178, 2018. First position: Master's in Economics, PUC-Chile, Santiago, Chile.
Francisco Hawas - Research Assistant at UAI

Patrick and Amy McCarter Fellow in Residence

NORTHWESTERN UNIVERSITY

Estados Unidos, 2018

I was selected as the Patrick and Amy McCarter Fellow in Residence and spent one year as a visiting Associate Professor at the IEMS Department, at Northwestern University
Best Researcher Award

UNIVERSIDAD ADOLFO IBANEZ

Chile, 2015

I was selected as the best researcher of the Business School in the year of 2015


A stochastic optimization model for short-term production of offshore oil platforms with satellite wells using gas lift Vieira B.; Teixeira A. Article ISI SCOPUS TOP (2020)
An ADMM algorithm for two-stage stochastic programming problems Article https://doi.org/10.1007/s10479-019-03471-0 ANNALS OF OPERATIONS RESEARCH (2020)
Lane's Algorithm Revisited Article MANAGEMENT SCIENCE (2020)
Partially observable multistage stochastic optimization Dowson, Oscar; Morton, David Article OPERATIONS RESEARCH LETTERS (2020)
PERSPECTIVES: Molecular Biology and Economics: A Few Funerals Are Needed Cifuentes, Arturo; Pagnoncelli, Bernardo Article The Journal of Portfolio Management (2020)
A multistage stochastic programming model for the network air cargo allocation under capacity uncertainty Trincado R. Article ISI SCOPUS TRANSPORTATION RESEARCH PART E-LOGISTICS AND TRANSPORTATION REVIEW (2019)
An algorithm for binary linear chance-constrained problems using IIS Gallego J.A. Article ISI SCOPUS COMPUTATIONAL OPTIMIZATION AND APPLICATIONS (2019)
Better management of production incidents in mining using multistage stochastic optimization reus, l Article ISI SCOPUS RESOURCES POLICY (2019)
Can asset allocation limits determine portfolio risk-return profiles in DC pension schemes? ValladÃ£o D. Article ISI SCOPUS INSURANCE MATHEMATICS & ECONOMICS (2019)
Designing coalition-based fair and stable pricing mechanisms under private information on consumers' reservation prices Le Cadre, H; Beaude, O Article ISI SCOPUS EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2019)
Scenario reduction for stochastic programs with Conditional Value-at-Risk Pagnoncelli, B Article ISI SCOPUS MATHEMATICAL PROGRAMMING (2018)
A risk averse approach to the capacity allocation problem in the airline cargo industry Wada M. Article ISI SCOPUS JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY (2017)
A two-step hybrid investment strategy for pension funds Denis, G Article ISI SCOPUS North American Journal of Economics and Finance (2017)
Chance-constrained problems and rare events: an importance sampling approach Barrera, J; Moreno E.; Canessa, G. Article ISI SCOPUS MATHEMATICAL PROGRAMMING (2016)
Credit-Risk Behavior of Homogeneous Portfolios: A Theoretical Result with Surprising Practical Implications Pagnoncelli, Bernardo K.; Hawas, Francisco Article The Journal of Structured Finance (2016)
Risk aversion in multistage stochastic programming: A modeling and algorithmic perspective Homem-de-Mello, T.; Pagnoncelli, B.K. Article EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2016)
The optimal harvesting problem under price uncertainty: the risk averse case Pagnoncelli, Bernardo K.; Piazza, Adriana Article SCOPUS Annals of Operations Research (2015)
The stochastic Mitra–Wan forestry model: risk neutral and risk averse cases Piazza, A.; Pagnoncelli, B.K. Article Journal of Economics (2015)
Credit risk assessment of fixed income portfolios using explicit expressions Pagnoncelli, BK; Cifuentes, A. Article ISI SCOPUS FINANCE RESEARCH LETTERS (2014)
Credit-Risk Assessment of Fixed Income Portfolios Using Explicit Expressions Cifuentes, A. Article FINANCE RESEARCH LETTERS (2014)
Demistifying credit risk derivatives and securitization: introducing the basic ideas to undergraduates Cifuentes, A. Article Journal of Derivatives (2014)
Demystifying Credit Risk Derivatives and Securitization: Introducing the Basic Ideas to Undergraduates Pagnoncelli, Bernardo K. Article The Journal of Derivatives (2014)
The optimal harvesting problem under price uncertainty Piazza A. Article ISI SCOPUS ANNALS OF OPERATIONS RESEARCH (2014)
The stochastic Mitra-Wan forestry model: risk neutral and risk averse cases Piazza A. Article JOURNAL OF ECONOMICS (2014)
The stochastic Mitra–Wan forestry model: risk neutral and risk averse cases Piazza, Adriana; Pagnoncelli, Bernardo K. Article Journal of Economics (2014)
A provisioning problem with stochastic payments Vanduffel S. Article ISI SCOPUS European Journal of Operational Research (2012)
Risk-Return Trade-off with the Scenario Approach in Practice: A Case Study in Portfolio Selection Reich D.; Campi, M. C. Article ISI SCOPUS Journal of Optimization Theory and Applications (2012)
Sample Average Approximation method for chance constrained programming: theory and applications Shapiro, A; Ahmed S. Article ISI JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS (2009)
How good are default investment policies in defined contribution pension plans? Article Journal of Pension Economics and Finance


Production maximization of oil in off-shore platforms that use gas-lift. Proyecto (2018)
Large scale optimization and uncertainty=> Challenges in strategic mine planning. An interdisciplinary approach PIA (1407) Proyecto 2016-2018 Investigador(a)
Centralized versus Decentralized Energy Management in a Stochastic Setting Electricité de France (EDF) (1604H) Proyecto 2015-2017 Director(a)
MULTISTAGE STOCHASTIC OPTIMIZACION APPLIED TO FINANCE AND MINING FONDECYT (11130056) Proyecto 2013-2016 Inv. Responsable
Latin America Stochastic Optimization Network (LASON) Electricité de France (EDF) (PGMO - LASON) Proyecto 2012-2014 Director(a)
MODELS AND STRATEGIES FOR MULTI-STAGE STOCHASTIC PROGRAMS WITH RISK CONTROL FONDECYT (1120244) Proyecto 2012-2016 Coinvestigador(a)
Industrial and Management Science Applications PIA (ACT-88) Proyecto 2010-2013 Investigador(a)