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Andre Alves Portela Santos

Not to be confused with: Andre Oliveira 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, Spain
http://www.cunef.edu/
RePEc:edi:cunefes (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. 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.
  2. 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.
  3. 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].
  4. 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.
  5. 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].
  6. 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.
  7. Santos, André A. P. & Nogales, Francisco J., 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 Estadística.
  8. 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 Economía de la Empresa.
  9. 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

  1. 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).
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. Santos, André A.P. & Moura, Guilherme V., 2014. "Dynamic factor multivariate GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 606-617.
  20. 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.
  21. 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.
  22. 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.
  23. 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.
  24. 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.
  25. 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.
  26. 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.
  27. 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.
  28. 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.
  29. 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.
  30. 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

Research fields, statistics, top rankings, if available.

Statistics

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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.
  1. NEP-BIG: Big Data (2) 2021-04-05 2021-04-05
  2. NEP-CMP: Computational Economics (2) 2021-04-05 2021-04-05
  3. NEP-FMK: Financial Markets (2) 2005-10-29 2021-04-05
  4. NEP-BAN: Banking (1) 2009-12-11
  5. NEP-CFN: Corporate Finance (1) 2008-07-30
  6. NEP-CWA: Central and Western Asia (1) 2021-04-05
  7. NEP-ECM: Econometrics (1) 2009-12-11
  8. NEP-EXP: Experimental Economics (1) 2013-07-20
  9. NEP-FOR: Forecasting (1) 2009-12-11
  10. NEP-REG: Regulation (1) 2009-12-11
  11. NEP-RMG: Risk Management (1) 2009-12-11
  12. NEP-SOG: Sociology of Economics (1) 2017-06-18
  13. NEP-UPT: Utility Models and Prospect Theory (1) 2016-09-04

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