Scholar
André Portela Santos
Google Scholar ID: S80aHqcAAAAJ
CUNEF
Citations & Impact
Citations
1,191
H-index
17
i10-index
26
Publications
20
Co-authors
0
Resume
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.