Andre A. P. Santos

University of Edinburgh - Edinburgh Business School

29 Buccleuch Pl

Edinburgh, Scotland EH8 9JS

United Kingdom

Universidade Federal de Santa Catarina (UFSC) - Department of Economics

PO Box 476

Florianopolis, SC 88010-970

Brazil

http://sites.google.com/site/andreportela

SCHOLARLY PAPERS

14

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4,672

SSRN CITATIONS
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Top 23,753

in Total Papers Citations

19

CROSSREF CITATIONS

22

Scholarly Papers (14)

1.

Can Machine Learning Help to Select Portfolios of Mutual Funds?

Number of pages: 53 Posted: 16 Mar 2021 Last Revised: 19 Oct 2021
London Business School, Universitat Pompeu Fabra, Universidad Carlos III de Madrid - Department of Statistics and University of Edinburgh - Edinburgh Business School
Downloads 914 (33,012)

Abstract:

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Mutual-fund performance; performance predictability; active management; elastic net; random forests; gradient boosting.

2.

The Performance of Socially Responsible Mutual Funds: The Role of Fees And Management Companies

Number of pages: 33 Posted: 26 Nov 2008
Javier Gil-Bazo, Pablo Ruiz-Verdú and Andre A. P. Santos
Universitat Pompeu Fabra, Universidad Carlos III de Madrid and University of Edinburgh - Edinburgh Business School
Downloads 880 (34,659)
Citation 7

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Socially responsible investment, Mutual fund fees, Mutual fund performance, Mutual Fund Management Companies

3.

Bond Portfolio Optimization Using Dynamic Factor Models

Number of pages: 49 Posted: 07 Jun 2012 Last Revised: 23 Nov 2015
João Caldeira, Guilherme V. Moura and Andre A. P. Santos
Universidade Federal de Santa Catarina & CNPq, Universidade Federal de Santa Catarina (UFSC) - Department of Economics and University of Edinburgh - Edinburgh Business School
Downloads 854 (36,220)
Citation 7

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yield curve; dynamic factor model; dynamic conditional correlation (DCC); portfolio optimization; value-at-risk

4.

Measuring Risk in Fixed Income Portfolios Using Yield Curve Models

Number of pages: 28 Posted: 18 Aug 2013
João Caldeira, Guilherme V. Moura and Andre A. P. Santos
Universidade Federal de Santa Catarina & CNPq, Universidade Federal de Santa Catarina (UFSC) - Department of Economics and University of Edinburgh - Edinburgh Business School
Downloads 367 (104,508)
Citation 1

Abstract:

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backtesting, dynamic conditional correlation (DCC), forecast, maximum likelihood, value-at-risk

5.

Optimal Portfolios with Minimum Capital Requirements

Journal of Banking and Finance, Vol. 36, No. 7, 2012
Number of pages: 55 Posted: 04 May 2010 Last Revised: 17 Jul 2012
University of Edinburgh - Edinburgh Business School, Universidad Carlos III de Madrid - Department of Statistics, Universidad Carlos III de Madrid - Department of Statistics and Econometrics and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 301 (129,817)

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Multivariate GARCH, Convex Optimization, Out-Of-Sample Evaluation

6.

Dynamic Factor Multivariate GARCH Model

Forthcoming, Computational Statistics and Data Analysis
Number of pages: 27 Posted: 17 Jul 2012 Last Revised: 09 Oct 2012
Andre A. P. Santos and Guilherme V. Moura
University of Edinburgh - Edinburgh Business School and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 299 (130,795)
Citation 3

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dynamic conditional correlation (DCC), forecasting, Kalman filter, learning, CAPM, performance evaluation, Sharpe ratio

7.

Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk

Journal of Financial Econometrics, Forthcoming
Number of pages: 44 Posted: 17 Jul 2012 Last Revised: 18 Aug 2013
Andre A. P. Santos, Francisco J. Nogales and Esther Ruiz
University of Edinburgh - Edinburgh Business School, Universidad Carlos III de Madrid - Department of Statistics and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 231 (169,485)
Citation 3

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Backtesting, Basel Accords, market risk, composite likelihood, risk management, volatility

8.

Combining Multivariate Volatility Forecasts: An Economic-Based Approach

Journal of Financial Econometrics, Forthcoming
Number of pages: 45 Posted: 23 Sep 2015 Last Revised: 25 Oct 2016
Universidade Federal de Santa Catarina & CNPq, Universidade Federal de Santa Catarina (UFSC) - Department of Economics, Universidad Carlos III de Madrid - Department of Statistics and University of Edinburgh - Edinburgh Business School
Downloads 179 (214,201)
Citation 2

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Composite likelihood, conditional correlation models, model confidence set, realized covariance, stochastic volatility

9.

Comparing High Dimensional Conditional Covariance Matrices: Implications for Portfolio Selection

Number of pages: 45 Posted: 14 Aug 2018 Last Revised: 20 Apr 2020
Guilherme V. Moura, Andre A. P. Santos and Esther Ruiz
Universidade Federal de Santa Catarina (UFSC) - Department of Economics, University of Edinburgh - Edinburgh Business School and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 155 (241,841)
Citation 5

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GARCH, Minimum variance portfolio, Mean-variance portfolio, Risk-adjusted returns, Stochastic volatility, Turnover-constrained portfolios

10.

Predicting the Yield Curve Using Forecast Combinations

Number of pages: 34 Posted: 18 Aug 2013
João Caldeira, Guilherme V. Moura and Andre A. P. Santos
Universidade Federal de Santa Catarina & CNPq, Universidade Federal de Santa Catarina (UFSC) - Department of Economics and University of Edinburgh - Edinburgh Business School
Downloads 141 (261,088)

Abstract:

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yield curve, dynamic factor models, forecast combinations, economic value of forecasts, Kalman

11.

Disentangling the Role of Variance and Covariance Information in Portfolio Selection Problems

Forthcoming, Quantitative Finance
Number of pages: 34 Posted: 28 May 2017 Last Revised: 16 Apr 2018
Andre A. P. Santos
University of Edinburgh - Edinburgh Business School
Downloads 129 (279,606)
Citation 1

Abstract:

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Inverse covariance matrix, minimum variance portfolio, reward-to-risk timing, tangency portfolio, volatility timing

12.

Yield Curve Forecast Combinations Based on Bond Portfolio Performance

Journal of Forecasting, Forthcoming
Number of pages: 33 Posted: 29 Mar 2017
João Caldeira, Guilherme V. Moura and Andre A. P. Santos
Universidade Federal de Santa Catarina & CNPq, Universidade Federal de Santa Catarina (UFSC) - Department of Economics and University of Edinburgh - Edinburgh Business School
Downloads 98 (338,682)

Abstract:

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Forecast Combinations, Portfolio Optimization, Yield Curve, Bond Returns

13.

Semiparametric Portfolios: Improving Portfolio Performance by Exploiting Non-Linearities in Firm Characteristics

Number of pages: 46 Posted: 23 Apr 2021 Last Revised: 06 Jul 2021
João Caldeira, Andre A. P. Santos and Hudson Torrent
Universidade Federal de Santa Catarina & CNPq, University of Edinburgh - Edinburgh Business School and Universidade Federal do Rio Grande do Sul (UFRGS) - Department of Statistics
Downloads 67 (423,407)

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Penalized splines; Portfolio turnover; Risk-adjusted returns; Sharpe ratios.

14.

On the Choice of Covariance Specifications for Portfolio Selection Problems

Number of pages: 25 Posted: 06 Aug 2016 Last Revised: 28 Jan 2017
Alexandre Ferreira and Andre A. P. Santos
Rice University, Jesse H. Jones Graduate School of Business, Students and University of Edinburgh - Edinburgh Business School
Downloads 57 (458,831)

Abstract:

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Composite likelihood, conditional correlation models, factor models, multivariate GARCH