I have research on Mutual Funds. I have been concentrated on different topics in this field:

- PERFORMANCE: The impact of the third co-moment (coskewness) in Mutual Funds evaluation, and whether mutual funds managers really have a policy of management of coskewness (this research is being doing jointly with R. Rodriguez)

- PERFORMANCE AND OUTSOURCING: We study how outsourcing in mutual fund industry affects performance in the case of having conflict of interest. This conflict of interst take places when the sub-advisor is managing in-house funds and external ones. (this research is being doing jointly with R. Rodriguez and Rafael Zambrana)

- CLASSIFICATION: We have developed a new classification of Spanish Mutual Funds based on their performance and attributes rather than their investment styles declared at the beginning by their mutual funds managers. We use Self-Organizing Maps to do it.

-SEASONALITY: We have also analyzed if there is any seasonality in the management of mutual funds, finding that it contributes positively to mutual funds performance, and affects to ranking of mutual funds.


I have been working on Computational Finance for the last 8 years. The first of which was when I was working on my Thesis in the Computational Finance Lab in the University of Alcala.

I have been participating in several International Congresses, I have been doing as a referee for the top Journals (such as IEEE Transactions on Evolutionary Computation), and also for International Congresses (as the IEEE Congress on Evolutionary Computation).

Moreover, I have published some papers using techniques based on Evolution or Artificial Intelligence and linking those with some unsolved problems in Finance. For example, optimizing portfolios which minimize the lower-partial-moment and maximize the upper-partial-moment (research done jointly with D. Nawrocki and Ignacio Olmeda).

I have also developed (jointly with other professors of the University Carlos III) an artificial financial market which allows us to study the price discovery and informational efficiency of a market with a continuous double-auction.

I have also studied portfolio allocation problems using networks. We found promising results both in-sample and out-of-sample, showing that futher research should be done in this field. I worked jointly with Silvia Mayoral and Abalfazl Zareei. 


DONWSIDE RISK MEASURES AND PORTFOLIO CHOICE:  In this research, given that there is plenty of empirical evidence for non-normality of assets' returns, I have been working on portfolio optimization outside of the mean-variance framework developed by Markowitz. As with some other authors, I have moved to more realistic risk measures in asymetric distributions, such as downside risk measures (e.g. Semideviation or Lower-Partial-Moment).

IDIOSYNCRATIC RISK: We study several explanations to the negative relationship between stocks's idiosyncratic risk and stock's returns. We use Wavelets to explain it, but also some variables as companies' profitability and investment, which have not been considered by previous literature (research done jointly with Juliana Malagon and Rosa Rodriguez).