Andre Alves Portela Santos
Personal Details
First Name: | Andre |
Middle Name: | Alves Portela |
Last Name: | Santos |
Suffix: | |
RePEc Short-ID: | psa341 |
[This author has chosen not to make the email address public] | |
Affiliation
CUNEF Universidad
Madrid, Spainhttp://www.cunef.edu/
RePEc:edi:cunefes (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Victor DeMiguel & Javier Gil-Bazo & Francisco J. Nogales & André A. P. Santos, 2021.
"Can Machine Learning Help to Select Portfolios of Mutual Funds?,"
Working Papers
1245, Barcelona School of Economics.
- Victor DeMiguel & Javier Gil-Bazo & Francisco J. Nogales & André A. P. Santos, 2021. "Can machine learning help to select portfolios of mutual funds?," Economics Working Papers 1772, Department of Economics and Business, Universitat Pompeu Fabra.
- Perlin, Marcelo & Santos, André & Imasato, Takeyoshi & Borenstein, Denis & Da Silva, Sergio, 2017.
"The Brazilian scientific output published in journals: A study based on a large CV database,"
MPRA Paper
79662, University Library of Munich, Germany.
- Perlin, Marcelo S. & Santos, André A.P. & Imasato, Takeyoshi & Borenstein, Denis & Da Silva, Sergio, 2017. "The Brazilian scientific output published in journals: A study based on a large CV database," Journal of Informetrics, Elsevier, vol. 11(1), pages 18-31.
- Fabricio Tourrucôo & João F. Caldeira & Guilherme V. Moura & André A. P. Santos, 2016.
"Forecasting The Yield Curve With The Arbitrage-Free Dynamic Nelson-Siegel Model: Brazilian Evidence,"
Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting]
028, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- João F. Caldeira & Guilherme V. Moura & , Fabricio Tourrucôo, 2016. "Forecasting the yield curve with the arbitrage-free dynamic Nelson-Siegel model: Brazilian evidence," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 17(2), pages 221-237.
- R. Ferreira, Alexandre & A. P. Santos, Andre, 2016.
"On the choice of covariance specifications for portfolio selection problems,"
MPRA Paper
73259, University Library of Munich, Germany.
- Santos, André Alves Portela & Ferreira, Alexandre R., 2017. "On the choice of covariance specifications for portfolio selection problems," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 37(1), May.
- Guilherme Valle Moura & João Frois Caldeira & André Santos, 2014.
"Seleção De Carteiras Utilizando O Modelofama-French-Carhart,"
Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting]
117, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Caldeira, João F & Moura, Guilherme Valle & Santos, André Alves Portela, 2013. "Seleção de carteiras utilizando o modelo Fama-French-Carhart," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 67(1), April.
- Goulart, Marco & Da Costa Jr, Newton & Santos, Andre & Takase, Emilio & Da Silva, Sergio, 2013. "Psychophysiological correlates of the disposition effect," MPRA Paper 48227, University Library of Munich, Germany.
- Santos, André A. P. & Nogales, Francisco J. & Ruiz Ortega, Esther, 2009.
"Comparing univariate and multivariate models to forecast portfolio value-at-risk,"
DES - Working Papers. Statistics and Econometrics. WS
ws097222, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- André A. P. Santos & Francisco J. Nogales & Esther Ruiz, 2013. "Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk," Journal of Financial Econometrics, Oxford University Press, vol. 11(2), pages 400-441, March.
- Gil-Bazo, Javier & Ruiz-Verdú, Pablo & Santos, André A. P., 2008.
"The performance of socially responsible mutual funds: the role of fees and management companies,"
DEE - Working Papers. Business Economics. WB
wb083409, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- Javier Gil-Bazo & Pablo Ruiz-Verdú & André Santos, 2010. "The Performance of Socially Responsible Mutual Funds: The Role of Fees and Management Companies," Journal of Business Ethics, Springer, vol. 94(2), pages 243-263, June.
- Andre Santos & Joao Tusi & Newton Da Costa Jr & Sergio Da Silva, 2005. "Evaluating Brazilian Stock Mutual Funds with Stochastic Frontiers," Finance 0510030, University Library of Munich, Germany.
Articles
- Santos, André A.P. & Torrent, Hudson S., 2022. "Markowitz meets technical analysis: Building optimal portfolios by exploiting information in trend-following signals," Finance Research Letters, Elsevier, vol. 49(C).
- Prates, Wlademir Ribeiro & da Costa Jr., Newton Carneiro Affonso & Santos, André Portela, 2019. "Efeito disposição: propensão à venda de investidores individuais e institucionais," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 73(1), March.
- André A. P. Santos, 2019. "Disentangling the role of variance and covariance information in portfolio selection problems," Quantitative Finance, Taylor & Francis Journals, vol. 19(1), pages 57-76, January.
- Carlos Trucíos & Mauricio Zevallos & Luiz K. Hotta & André A. P. Santos, 2019. "Covariance Prediction in Large Portfolio Allocation," Econometrics, MDPI, vol. 7(2), pages 1-24, May.
- Marcelo S. Perlin & João F. Caldeira & André A. P. Santos & Martin Pontuschka, 2017. "Can We Predict the Financial Markets Based on Google's Search Queries?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(4), pages 454-467, July.
- Perlin, Marcelo S. & Santos, André A.P. & Imasato, Takeyoshi & Borenstein, Denis & Da Silva, Sergio, 2017.
"The Brazilian scientific output published in journals: A study based on a large CV database,"
Journal of Informetrics, Elsevier, vol. 11(1), pages 18-31.
- Perlin, Marcelo & Santos, André & Imasato, Takeyoshi & Borenstein, Denis & Da Silva, Sergio, 2017. "The Brazilian scientific output published in journals: A study based on a large CV database," MPRA Paper 79662, University Library of Munich, Germany.
- João F. Caldeira & Guilherme V. Moura & Francisco J. Nogales & André A. P. Santos, 2017. "Combining Multivariate Volatility Forecasts: An Economic-Based Approach," Journal of Financial Econometrics, Oxford University Press, vol. 15(2), pages 247-285.
- Santos, André Alves Portela & Ferreira, Alexandre R., 2017.
"On the choice of covariance specifications for portfolio selection problems,"
Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 37(1), May.
- R. Ferreira, Alexandre & A. P. Santos, Andre, 2016. "On the choice of covariance specifications for portfolio selection problems," MPRA Paper 73259, University Library of Munich, Germany.
- Guilherme Fernandes Sanches & André Alves Portela Santos, 2016. "Validation of loss given default in the advanced IRB approach," Brazilian Review of Finance, Brazilian Society of Finance, vol. 14(2), pages 299-321.
- Caldeira, João F. & Moura, Guilherme V. & Santos, André A.P., 2016. "Predicting the yield curve using forecast combinations," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 79-98.
- Caldeira, João F. & Moura, Guilherme V. & Santos, André A.P., 2016. "Bond portfolio optimization using dynamic factor models," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 128-158.
- Caldeira, João F. & Moura, Guilherme V. & Santos, André A. P., 2015. "Previsões Macroeconômicas Baseadas em Modelos TVP-VAR: Evidências Para o Brasil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 69(4), December.
- Roberto Meurer & André A.P. Santos & Douglas E. Turatti, 2015. "Monetary policy surprises and jumps in interest rates: evidence from Brazil," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 42(5), pages 893-907, October.
- João Caldeira & Guilherme Moura & André Santos, 2015. "Measuring Risk in Fixed Income Portfolios using Yield Curve Models," Computational Economics, Springer;Society for Computational Economics, vol. 46(1), pages 65-82, June.
- Goulart, Marco & da Costa, Newton C.A. & Andrade, Eduardo B. & Santos, André A.P., 2015. "Hedging against embarrassment," Journal of Economic Behavior & Organization, Elsevier, vol. 116(C), pages 310-318.
- André A.P. Santos, 2015. "Beating the market with small portfolios: Evidence from Brazil," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 16(1), pages 22-31.
- Wlademir Ribeiro Prates & André Alves Portela Santos & Newton Carneiro Affonso da Costa Jr., 2014. "Overconfidence, turnover, and return: evidence from the Brazilian market," Brazilian Review of Finance, Brazilian Society of Finance, vol. 12(3), pages 351-383.
- André A P Santos & Luciano N Junkes & Floriano C M Pires Jr, 2014. "Forecasting period charter rates of VLCC tankers through neural networks: A comparison of alternative approaches," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 16(1), pages 72-91, March.
- Santos, André A.P. & Moura, Guilherme V., 2014. "Dynamic factor multivariate GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 606-617.
- André A. P. Santos & Francisco J. Nogales & Esther Ruiz, 2013.
"Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk,"
Journal of Financial Econometrics, Oxford University Press, vol. 11(2), pages 400-441, March.
- Santos, André A. P. & Nogales, Francisco J. & Ruiz Ortega, Esther, 2009. "Comparing univariate and multivariate models to forecast portfolio value-at-risk," DES - Working Papers. Statistics and Econometrics. WS ws097222, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Caldeira, João F & Moura, Guilherme Valle & Santos, André Alves Portela, 2013.
"Seleção de carteiras utilizando o modelo Fama-French-Carhart,"
Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 67(1), April.
- Guilherme Valle Moura & João Frois Caldeira & André Santos, 2014. "Seleção De Carteiras Utilizando O Modelofama-French-Carhart," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 117, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Rodrigo P. Dill & Newton Da Costa Jr. & André A. P. Santos, 2013. "Paraconsistent and fuzzy logic applied to company profitability analysis," Economics Bulletin, AccessEcon, vol. 33(2), pages 1348-1360.
- Felipe Wolk Teixeira & Roberto Meurer & André Alves Portela Santos, 2013. "What drives forex interventions? Evidence from the Brazilian Central Bank interventions on the BRL/USD market," Brazilian Review of Finance, Brazilian Society of Finance, vol. 11(2), pages 215-248.
- Anna Buchholz & Cesar Cupertino & Roberto Meurer & Andre Portela Santos & Newton Da Costa, 2012. "The market reaction to changes in the Brazilian official interest rate," Applied Economics Letters, Taylor & Francis Journals, vol. 19(14), pages 1359-1364, September.
- Santos, André A.P. & Nogales, Francisco J. & Ruiz, Esther & Dijk, Dick Van, 2012. "Optimal portfolios with minimum capital requirements," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1928-1942.
- João Caldeira & Guilherme Moura & André A.P. Santos, 2012. "Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock market," Economics Bulletin, AccessEcon, vol. 32(3), pages 1848-1857.
- André Alves Portela Santos & Cristina Tessari, 2012. "Quantitative Portfolio Optimization Techniques Applied to the Brazilian Stock Market," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(3), pages 369-393.
- Javier Gil-Bazo & Pablo Ruiz-Verdú & André Santos, 2010.
"The Performance of Socially Responsible Mutual Funds: The Role of Fees and Management Companies,"
Journal of Business Ethics, Springer, vol. 94(2), pages 243-263, June.
- Gil-Bazo, Javier & Ruiz-Verdú, Pablo & Santos, André A. P., 2008. "The performance of socially responsible mutual funds: the role of fees and management companies," DEE - Working Papers. Business Economics. WB wb083409, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- André Alves Portela Santos, 2010. "The Out-of-Sample Performance of Robust Portfolio Optimization," Brazilian Review of Finance, Brazilian Society of Finance, vol. 8(2), pages 141-166.
- Sergio Da Silva & Newton Da Costa, Jr & Joao Tusi & Andre Santos, 2005. "Evaluating Brazilian mutual funds with stochastic frontiers," Economics Bulletin, AccessEcon, vol. 13(2), pages 1-6.
More information
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Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 8 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-BIG: Big Data (2) 2021-04-05 2021-04-05
- NEP-CMP: Computational Economics (2) 2021-04-05 2021-04-05
- NEP-FMK: Financial Markets (2) 2005-10-29 2021-04-05
- NEP-BAN: Banking (1) 2009-12-11
- NEP-CFN: Corporate Finance (1) 2008-07-30
- NEP-CWA: Central and Western Asia (1) 2021-04-05
- NEP-ECM: Econometrics (1) 2009-12-11
- NEP-EXP: Experimental Economics (1) 2013-07-20
- NEP-FOR: Forecasting (1) 2009-12-11
- NEP-REG: Regulation (1) 2009-12-11
- NEP-RMG: Risk Management (1) 2009-12-11
- NEP-SOG: Sociology of Economics (1) 2017-06-18
- NEP-UPT: Utility Models and Prospect Theory (1) 2016-09-04
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