Details about Andre Alves Portela Santos

Access statistics for papers by Andre Alves Portela Santos.

Last updated 2025-02-07. Update your information in the RePEc Author Service.

Short-id: psa341

Working Papers

2021

1. Can Machine Learning Help to Select Portfolios of Mutual Funds?
   Working Papers, Barcelona School of Economics View citations (5)
   Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2021) View citations (4)

2019

2. Comparing Forecasts of Extremely Large Conditional Covariance Matrices
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística

2017

3. The Brazilian scientific output published in journals: A study based on a large CV database
   MPRA Paper, University Library of Munich, Germany View citations (6)
   See also Journal Article The Brazilian scientific output published in journals: A study based on a large CV database, Journal of Informetrics, Elsevier (2017) View citations (7) (2017)

2016

4. 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], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics] View citations (3)
   See also Journal Article 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] (2016) View citations (3) (2016)
5. On the choice of covariance specifications for portfolio selection problems
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article On the choice of covariance specifications for portfolio selection problems, Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE (2017) View citations (2) (2017)

2014

6. SELEÇÃO DE CARTEIRAS UTILIZANDO O MODELOFAMA-FRENCH-CARHART
   Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics]
   See also Journal Article Seleção de carteiras utilizando o modelo Fama-French-Carhart, Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2013) View citations (2) (2013)

2013

7. Psychophysiological correlates of the disposition effect
   MPRA Paper, University Library of Munich, Germany View citations (9)

2009

8. Comparing univariate and multivariate models to forecast portfolio value-at-risk
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (5)
   See also Journal Article Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk, Journal of Financial Econometrics, Oxford University Press (2013) View citations (46) (2013)

2008

9. The performance of socially responsible mutual funds: the role of fees and management companies
   DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa View citations (12)
   See also Journal Article The Performance of Socially Responsible Mutual Funds: The Role of Fees and Management Companies, Journal of Business Ethics, Springer (2010) View citations (80) (2010)

2005

10. Are Pound and Euro the Same Currency?
    International Finance, University Library of Munich, Germany
11. Evaluating Brazilian Stock Mutual Funds with Stochastic Frontiers
    Finance, University Library of Munich, Germany View citations (4)

Journal Articles

2025

1. Forecasting the yield curve: the role of additional and time‐varying decay parameters, conditional heteroscedasticity, and macro‐economic factors
   Journal of Time Series Analysis, 2025, 46, (2), 258-285

2023

2. Machine learning and fund characteristics help to select mutual funds with positive alpha
   Journal of Financial Economics, 2023, 150, (3) View citations (3)
3. Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics
   Economic Modelling, 2023, 122, (C)

2022

4. Markowitz meets technical analysis: Building optimal portfolios by exploiting information in trend-following signals
   Finance Research Letters, 2022, 49, (C) View citations (3)

2020

5. A note on the estimation of minimum tracking error portfolios
   Brazilian Review of Econometrics, 2020, 40, (1)
6. Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection
   Journal of Banking & Finance, 2020, 118, (C) View citations (9)

2019

7. Covariance Prediction in Large Portfolio Allocation
   Econometrics, 2019, 7, (2), 1-24 View citations (3)
8. Disentangling the role of variance and covariance information in portfolio selection problems
   Quantitative Finance, 2019, 19, (1), 57-76 View citations (2)
9. Efeito disposição: propensão à venda de investidores individuais e institucionais
   Revista Brasileira de Economia - RBE, 2019, 73, (1)

2018

10. Yield curve forecast combinations based on bond portfolio performance
    Journal of Forecasting, 2018, 37, (1), 64-82 View citations (2)

2017

11. Can We Predict the Financial Markets Based on Google's Search Queries?
    Journal of Forecasting, 2017, 36, (4), 454-467 View citations (15)
12. Combining Multivariate Volatility Forecasts: An Economic-Based Approach
    Journal of Financial Econometrics, 2017, 15, (2), 247-285 View citations (12)
13. On the choice of covariance specifications for portfolio selection problems
    Brazilian Review of Econometrics, 2017, 37, (1) View citations (2)
    See also Working Paper On the choice of covariance specifications for portfolio selection problems, MPRA Paper (2016) (2016)
14. The Brazilian scientific output published in journals: A study based on a large CV database
    Journal of Informetrics, 2017, 11, (1), 18-31 View citations (7)
    See also Working Paper The Brazilian scientific output published in journals: A study based on a large CV database, MPRA Paper (2017) View citations (6) (2017)

2016

15. Bond portfolio optimization using dynamic factor models
    Journal of Empirical Finance, 2016, 37, (C), 128-158 View citations (22)
16. Forecasting the yield curve with the arbitrage-free dynamic Nelson-Siegel model: Brazilian evidence
    Economia, 2016, 17, (2), 221_237 View citations (3)
    See also Working Paper 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] (2016) View citations (3) (2016)
17. Predicting the yield curve using forecast combinations
    Computational Statistics & Data Analysis, 2016, 100, (C), 79-98 View citations (15)
18. Validation of loss given default in the advanced IRB approach
    Brazilian Review of Finance, 2016, 14, (2), 299-321

2015

19. Beating the market with small portfolios: Evidence from Brazil
    Economia, 2015, 16, (1), 22_31 View citations (3)
20. Hedging against embarrassment
    Journal of Economic Behavior & Organization, 2015, 116, (C), 310-318 View citations (11)
21. Measuring Risk in Fixed Income Portfolios using Yield Curve Models
    Computational Economics, 2015, 46, (1), 65-82 View citations (8)
22. Monetary policy surprises and jumps in interest rates: evidence from Brazil
    Journal of Economic Studies, 2015, 42, (5), 893-907
23. Previsões Macroeconômicas Baseadas em Modelos TVP-VAR: Evidências Para o Brasil
    Revista Brasileira de Economia - RBE, 2015, 69, (4)
24. The researchers, the publications and the journals of Finance in Brazil: An analysis based on resumes from the Lattes platform
    Brazilian Review of Finance, 2015, 13, (2), 162-199

2014

25. Dynamic factor multivariate GARCH model
    Computational Statistics & Data Analysis, 2014, 76, (C), 606-617 View citations (19)
26. Forecasting period charter rates of VLCC tankers through neural networks: A comparison of alternative approaches
    Maritime Economics & Logistics, 2014, 16, (1), 72-91 View citations (5)
27. Overconfidence, turnover, and return: evidence from the Brazilian market
    Brazilian Review of Finance, 2014, 12, (3), 351-383

2013

28. Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk
    Journal of Financial Econometrics, 2013, 11, (2), 400-441 View citations (46)
    See also Working Paper Comparing univariate and multivariate models to forecast portfolio value-at-risk, DES - Working Papers. Statistics and Econometrics. WS (2009) View citations (5) (2009)
29. Paraconsistent and fuzzy logic applied to company profitability analysis
    Economics Bulletin, 2013, 33, (2), 1348-1360
30. Seleção de carteiras utilizando o modelo Fama-French-Carhart
    Revista Brasileira de Economia - RBE, 2013, 67, (1) View citations (2)
    See also Working Paper SELEÇÃO DE CARTEIRAS UTILIZANDO O MODELOFAMA-FRENCH-CARHART, Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] (2014) (2014)
31. What drives forex interventions? Evidence from the Brazilian Central Bank interventions on the BRL/USD market
    Brazilian Review of Finance, 2013, 11, (2), 215-248

2012

32. Optimal portfolios with minimum capital requirements
    Journal of Banking & Finance, 2012, 36, (7), 1928-1942 View citations (15)
33. Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock market
    Economics Bulletin, 2012, 32, (3), 1848-1857
34. Quantitative Portfolio Optimization Techniques Applied to the Brazilian Stock Market
    Brazilian Review of Finance, 2012, 10, (3), 369-393
35. The market reaction to changes in the Brazilian official interest rate
    Applied Economics Letters, 2012, 19, (14), 1359-1364 View citations (2)

2010

36. The Out-of-Sample Performance of Robust Portfolio Optimization
    Brazilian Review of Finance, 2010, 8, (2), 141-166 View citations (7)
37. The Performance of Socially Responsible Mutual Funds: The Role of Fees and Management Companies
    Journal of Business Ethics, 2010, 94, (2), 243-263 View citations (80)
    See also Working Paper The performance of socially responsible mutual funds: the role of fees and management companies, DEE - Working Papers. Business Economics. WB (2008) View citations (12) (2008)

2005

38. Evaluating Brazilian mutual funds with stochastic frontiers
    Economics Bulletin, 2005, 13, (2), 1-6 View citations (4)