André Portela Santos
Scholar

André Portela Santos

Google Scholar ID: S80aHqcAAAAJ
CUNEF
financial econometricsportfolio optimizationrisk managementforecastingmutual funds
Homepage↗Google Scholar↗
Citations & Impact
All-time
Citations
1,191
 
H-index
17
 
i10-index
26
 
Publications
20
 
Co-authors
0
 
Contact
No contact links provided.
Publications
20 items
Browse publications on Google Scholar (top-right) ↗
Resume (English only)
Academic Achievements
  • Published several papers, including:
  • - Forecasting the Yield Curve: The Role of Additional and Time-Varying Decay Parameters, Conditional Heteroscedasticity, and Macro-Economic Factors (Journal of Time Series Analysis, 2024)
  • - Machine Learning and Fund Characteristics Help to Select Mutual Funds with Positive Alpha (Journal of Financial Economics, 2023)
  • - Comparing high dimensional conditional covariance matrices: Implications for portfolio selection (Journal of Banking and Finance, 2020)
  • - Disentangling the role of variance and covariance information in portfolio selection problems (Quantitative Finance, 2019)
  • - Combining multivariate volatility forecasts: an economic-based approach (Journal of Financial Econometrics, 2017)
  • - Bond portfolio optimization using dynamic factor models (Journal of Empirical Finance, 2016)
  • - Hedging against embarrassment (Journal of Economic Behavior and Organization, 2015)
  • - Dynamic factor multivariate GARCH model (Computational Statistics & Data Analysis, 2014)
  • - Comparing univariate and multivariate models to forecast portfolio value-at-risk (Journal of Financial Econometrics, 2013)
  • - Optimal portfolios with minimum capital requirements (Journal of Banking and Finance, 2012)
  • - The performance of socially responsible mutual funds: The role of fees and management companies (Journal of Business Ethics, 2010)
Research Experience
  • Served as the principal investigator in multiple projects, such as:
  • - Variable Selection for Minimum-Variance Portfolios
  • - A Forest Full of Risk Forecasts for Managing Volatility
  • - Volatility as a Signal: How Post-Launch Turbulence from New Product Introductions Predicts Long-Term Brand Performance
Background
  • Associate Professor at CUNEF Universidad. Research interests include financial time series analysis, portfolio optimization, etc.
Co-authors
0 total
Co-authors: 0 (list not available)