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Lorenzo Andres Reus Heredia

Profesor Asociado

UNIVERSIDAD ADOLFO IBANEZ

Santiago, Chile

Líneas de Investigación


Financial Engineering; Portfolio Optimization; Risk Management;

Educación

  •  Magister en Gestión de Operaciones, UNIVERSIDAD DE CHILE. Chile, 2008
  •  Operations Research and Financial Engineering, PRINCETON UNIVERSITY. Estados Unidos, 2013
  •  Ingeniero Civil Industrial, UNIVERSIDAD DE CHILE. Chile, 2008

Experiencia Académica

  •   Profesor Asociado Full Time

    UNIVERSIDAD ADOLFO IBANEZ

    Escuela de Negocios

    Santiago, Chile

    2014 - At present

Formación de Capital Humano


Thesis advisor in graduate programs

- 2015, Varisha Chaar-Starke, Title: "Potential exchange future strategies for the Surinamese dollar". Magíster en Ingeniería Industrial y Políticas Públicas, Universidad Adolfo Ibáñez
- 2016 Euredice Werson, Title: "Build a chilean peso - us dollar carry trade strategy based on market changes and/ or regime", Magíster en Ingeniería Industrial y Políticas Públicas, Universidad Adolfo Ibáñez
- 2019, Rodrigo Vicencio, Title: "Selección eficiente de contratos por venta de cobre para la pequeña y mediana minería", Magíster en Ingeniería Financiera, Universidad Adolfo Ibáñez
- 2019, Pedro Alvarez-Santullano, Javier Castro, Rodolfo Prado, Titulo: "Carteras dinámicas basadas en un índice sintético de rentabilidad constante bajo el método SDDP, Magíster en Ingeniería Financiera. Universidad Adolfo Ibáñez

Thesis advisor in undergraduate programs

- 2019, Jonathan Zuñiga, Title: Comparación de la volatilidad ex-ante entre un modelo APARCH y un modelo de volatilidad estocástica con apalancamiento respecto al estimador de Yang & Zhang", Facultad de Ciencia, Universidad de Santiago
- 2016, Mathias Belbeze, Hans Federsen Title: "Capacity Risk Management in Scheduling at the Chuquicamata Underground Mine", Facultad de Ingeniería y Ciencias, Universidad Adolfo Ibañez


Difusión y Transferencia


Conference : OPTIMA 2015 Antofagasta, Chile
Dissertation: Multistage stochastic optimization for private equity investments

Conference : IFABS 2018, Oporto Portugal
Dissertation: Suboptimal investment behavior and welfare costs: A simulation based approach

Conference : ASOR DORS 2018, Melbourne, Australia
Dissertation: Managing Production Incidents in Mining using Multistage Stochastic Programming

Conference : FEBS 2019, Prague, Czech Republic
Dissertation: Art Market Bubbles, Limited Art Supply and Collectors' Wealth

Conference : ICASQF 2019, Manizales, Colombia
Dissertation:: Index Tracking with Stochastic Dual Dynamic Programming


Premios y Distinciones

  •   Lorenzo Reus

    UNIVERSIDAD ADOLFO IBANEZ

    Chile, 2019

    Best professor of the year in Magíster Ingeniería Financiera


 

Article (16)

Foreign exchange trading and management with the stochastic dual dynamic programming method
Need to Meet Investment Goals? Track Synthetic Indexes with the SDDP Method
Speculative bubbles under supply constraints, background risk and investment fraud in the art market
Robust Solutions to the Life-Cycle Consumption Problem
Efficient selection of copper sales contracts for small- and medium-sized mining
English as a medium of instruction at a Chilean engineering school: Experiences in finance and industrial organization courses
Better management of production incidents in mining using multistage stochastic optimization
Currency risk in foreign currency accounts for small and medium-sized businesses
Do it with a smile: Forecasting volatility with currency options
Optimizing the equity reassignment process: A novel application for family businesses
Suboptimal investment behavior and welfare costs: A simulation based approach
Extraction planning under capacity uncertainty at the Chuquicamata underground mine
Retail consumers and risk in centralized energy auctions for indexed long-term contracts in Chile
Dynamic allocations for currency futures under switching regimes signals
On the strategic behavior of large investors: A mean-variance portfolio approach
Multistage stochastic optimization for private equity investments

Proyecto (3)

UNDERSTANDING INFORMATION EFFECTS ON MARKET ACTIVITY, AND MARKET ACTIVITY EFFECTS ON INFORMATION
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
Tecnologías de op?timización en ges?tión de proyectos para la resolución de problemas de planificación minera estratégica
18
Lorenzo Reus

Profesor Asociado

UNIVERSIDAD ADOLFO IBANEZ

Santiago, Chile

1
Bernardo Pagnoncelli

Associate Professor

Business School

Universidad Adolfo Ibáñez

Santiago, Chile

1
Jose Carrasco

Assitant Professor

Facultad de Ingenieria y Ciencias

Universidad Adolfo Ibánez

Santiago, Chile

1
Marcelo Villena

Profesor Investigador

Ingeniería & Ciencias

Universidad Adolfo Ibánez

Santiago, Chile

1
Pablo Pincheira

Profesor Asociado

Escuela de Negocios

Universidad Adolfo Ibánez

Santiago, Chile

1
Francisco Muñoz

Associate Professor

Engineering Sciences

Universidad Adolfo Ibáñez

Santiago, Chile

1
Rodrigo Moreno

Assistant Professor

Electrical Engineering

Universidad de Chile

Santiago, Chile