André Portela Santos

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Sur la base des exigences liées au financement

Coauteurs

Guilherme MouraProfessor at Federal University of Santa Catarina - BrazilAdresse e-mail validée de ufsc.br
Newton C. A. da Costa Jr.Federal University of Santa Catarina; Pontifical Catholic University of ParanáAdresse e-mail validée de pucpr.br
Leandro dos Santos CoelhoProfessor of Electrical Engineering, Federal University of Parana (UFPR), ALLIA FounderAdresse e-mail validée de ufpr.br
ESTHER RUIZ ORTEGAUniversidad Carlos III de MadridAdresse e-mail validée de est-econ.uc3m.es
Francisco J.NogalesFull Professor of Statistics and Optimization, Universidad Carlos III de Madrid, SpainAdresse e-mail validée de uc3m.es
Marcelo S. PerlinAssociate Professor of Finance, Federal University of Rio Grande do SulAdresse e-mail validée de ufrgs.br
Javier Gil-BazoUniversitat Pompeu Fabra; Barcelona School of Economics; UPF Barcelona School of ManagementAdresse e-mail validée de upf.edu
Pablo Ruiz-VerduUniversidad Carlos III de MadridAdresse e-mail validée de emp.uc3m.es
Sergio Da SilvaProfessor of Economics, Federal University of Santa CatarinaAdresse e-mail validée de ufsc.br
Victor DeMiguelProfessor, London Business SchoolAdresse e-mail validée de london.edu
Marco GoulartProduction Engineering - Federal University of Santa CatarinaAdresse e-mail validée de ufsc.br
Gabriel Trierweiler RibeiroPhD, UFPRAdresse e-mail validée de ufpr.br
Dick van DijkProfessor of Financial Econometrics, Erasmus University RotterdamAdresse e-mail validée de ese.eur.nl
Eduardo B. AndradeProfessor of Marketing, Imperial College Business School, LondonAdresse e-mail validée de imperial.ac.uk

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André Portela Santos

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Adresse e-mail validée de cunef.edu - Page d'accueil

financial econometrics portfolio optimization risk management forecasting mutual funds


Titre Trier par citations Trier par année Trier par titre	Citée par Citée par	Année
The performance of socially responsible mutual funds: The role of fees and management companies J Gil-Bazo, P Ruiz-Verdú, AAP Santos Journal of Business Ethics 94, 243-263, 2010	378	2010
Can we predict the financial markets based on Google's search queries? MS Perlin, JF Caldeira, AAP Santos, M Pontuschka Journal of Forecasting 36 (4), 454-467, 2017	166	2017
Comparing univariate and multivariate models to forecast portfolio value-at-risk AAP Santos, FJ Nogales, E Ruiz Journal of financial econometrics 11 (2), 400-441, 2013	124	2013
Novel hybrid model based on echo state neural network applied to the prediction of stock price return volatility GT Ribeiro, AAP Santos, VC Mariani, L dos Santos Coelho Expert Systems with Applications 184, 115490, 2021	99	2021
A RBF neural network model with GARCH errors: application to electricity price forecasting L dos Santos Coelho, AAP Santos Electric Power Systems Research 81 (1), 74-83, 2011	92	2011
Computational intelligence approaches and linear models in case studies of forecasting exchange rates AAP Santos, NCA da Costa Jr, L dos Santos Coelho Expert Systems with Applications 33 (4), 816-823, 2007	76	2007
Técnicas quantitativas de otimização de carteiras aplicadas ao mercado de ações brasileiro AAP Santos, C Tessari Revista Brasileira de Finanças 10 (3), 369-393, 2012	67	2012
Dynamic factor multivariate GARCH model AAP Santos, GV Moura Computational Statistics & Data Analysis 76, 606-617, 2014	50	2014
Machine learning and fund characteristics help to select mutual funds with positive alpha V DeMiguel, J Gil-Bazo, FJ Nogales, AAP Santos Journal of Financial Economics 150 (3), 103737, 2023	49	2023
Seleção de carteiras utilizando o modelo Fama-French-Carhart JF Caldeira, GV Moura, AAP Santos Revista Brasileira de Economia 67, 45-65, 2013	41	2013
Optimal portfolios with minimum capital requirements A Santos, E Ruiz, F Nogales, VD Dick Journal of Banking and Finance 36 (7), 1928–1942, 2012	40	2012
The Brazilian scientific output published in journals: A study based on a large CV database MS Perlin, AAP Santos, T Imasato, D Borenstein, S Da Silva Journal of Informetrics 11 (1), 18-31, 2017	39	2017
Bond portfolio optimization using dynamic factor models JF Caldeira, GV Moura, AAP Santos Journal of Empirical Finance 37, 128-158, 2016	38	2016
Forecasting period charter rates of VLCC tankers through neural networks: A comparison of alternative approaches AAP Santos, LN Junkes, FCM Pires Jr Maritime Economics & Logistics 16, 72-91, 2014	38	2014
Hedging against embarrassment M Goulart, NCA da Costa Jr, EB Andrade, AAP Santos Journal of Economic Behavior & Organization 116, 310-318, 2015	37	2015
Predicting the yield curve using forecast combinations JF Caldeira, GV Moura, AAP Santos Computational Statistics & Data Analysis 100, 79-98, 2016	36	2016
The out-of-sample performance of robust portfolio optimization AAP Santos Revista Brasileira de Finanças 8 (2), 141-166, 2010	33	2010
Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection GV Moura, AAP Santos, E Ruiz Journal of Banking & Finance 118, 105882, 2020	29	2020
Lotka’s law for the Brazilian scientific output published in journals S Da Silva, M Perlin, R Matsushita, AAP Santos, T Imasato, D Borenstein Journal of Information Science 45 (5), 705-709, 2019	29	2019
Covariance prediction in large portfolio allocation C Trucíos, M Zevallos, LK Hotta, AAP Santos Econometrics 7 (2), 19, 2019	26	2019

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