Carlos M. Carvalho

University of Texas at Austin - Red McCombs School of Business

Austin, TX 78712

United States

SCHOLARLY PAPERS

9

DOWNLOADS
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Top 28,544

in Total Papers Downloads

1,753

SSRN CITATIONS
Rank 28,084

SSRN RANKINGS

Top 28,084

in Total Papers Citations

10

CROSSREF CITATIONS

17

Scholarly Papers (9)

1.

On the Long Run Volatility of Stocks

The Journal of the American Statistical Association, 2018 Forthcoming
Number of pages: 42 Posted: 13 Jul 2016 Last Revised: 09 Feb 2018
Carlos M. Carvalho, Hedibert Lopes and Robert E. McCulloch
University of Texas at Austin - Red McCombs School of Business, Insper and University of Chicago - Booth School of Business
Downloads 352 (90,991)
Citation 3

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2.

Variable Selection in Seemingly Unrelated Regressions with Random Predictors

Bayesian Analysis, Volume 12, Number 4 (2017), 969-989. https://projecteuclid.org/euclid.ba/1488855633
Number of pages: 21 Posted: 29 May 2016 Last Revised: 15 Oct 2018
David Puelz, P. Richard Hahn and Carlos M. Carvalho
University of Chicago - Booth School of Business, Arizona State University (ASU) - School of Mathematical and Statistical Sciences and University of Texas at Austin - Red McCombs School of Business
Downloads 235 (139,770)
Citation 2

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3.

Particle Learning and Smoothing

Statistical Science, Vol. 25, No. 1, pp. 88-106, 2010
Number of pages: 19 Posted: 22 Oct 2011 Last Revised: 09 Nov 2011
University of Texas at Austin - Red McCombs School of Business, Columbia Business School - Finance and Economics, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 228 (143,950)

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4.

Sparse Mean-Variance Portfolios: A Penalized Utility Approach

Number of pages: 24 Posted: 10 Feb 2016 Last Revised: 27 Dec 2016
David Puelz, P. Richard Hahn and Carlos M. Carvalho
University of Chicago - Booth School of Business, Arizona State University (ASU) - School of Mathematical and Statistical Sciences and University of Texas at Austin - Red McCombs School of Business
Downloads 201 (162,198)
Citation 2

Abstract:

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portfolio optimization, passive investing, mean-variance optimization, decoupling shrinkage and selection

5.

Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models

Number of pages: 53 Posted: 18 Oct 2018
Carlos M. Carvalho, Jared Fisher and Davide Pettenuzzo
University of Texas at Austin - Red McCombs School of Business, University of California, Berkeley and Brandeis University - International Business School
Downloads 188 (172,421)
Citation 1

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Optimal Asset Allocation, Bayesian Econometrics, Dynamic Linear Models

6.

Portfolio Selection for Individual Passive Investing

Number of pages: 41 Posted: 05 Jul 2017 Last Revised: 30 Jul 2019
David Puelz, P. Richard Hahn and Carlos M. Carvalho
University of Chicago - Booth School of Business, Arizona State University (ASU) - School of Mathematical and Statistical Sciences and University of Texas at Austin - Red McCombs School of Business
Downloads 168 (190,398)

Abstract:

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Bayesian methods, dynamic portfolio selection, decision theory, model selection

7.

Bayesian Regression Tree Models for Causal Inference: Regularization, Confounding, and Heterogeneous Effects

Number of pages: 31 Posted: 06 Oct 2017 Last Revised: 22 Jul 2018
P. Richard Hahn, Jared Murray and Carlos M. Carvalho
Arizona State University (ASU) - School of Mathematical and Statistical Sciences, University of Texas at Austin - Red McCombs School of Business and University of Texas at Austin - Red McCombs School of Business
Downloads 161 (197,506)
Citation 15

Abstract:

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causal inference, treatment effects, heterogeneous effects, subgroup effects, tree methods, Bayesian, nonparametric regression, nonlinear regression

8.

Monotonic Effects of Characteristics on Returns

Number of pages: 33 Posted: 01 Aug 2018 Last Revised: 08 Apr 2020
Jared Fisher, David Puelz and Carlos M. Carvalho
University of California, Berkeley, University of Chicago - Booth School of Business and University of Texas at Austin - Red McCombs School of Business
Downloads 156 (202,794)
Citation 3

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Cross Section of Returns, posterior summarization, Bayesian modeling

9.

Regularization and Confounding in Linear Regression for Treatment Effect Estimation

Bayesian Analysis Volume 13, Number 1 (2018), 163-182. https://projecteuclid.org/euclid.ba/1484103680
Number of pages: 20 Posted: 08 Feb 2016 Last Revised: 15 Oct 2018
P. Richard Hahn, Carlos M. Carvalho, Jingyu He and David Puelz
Arizona State University (ASU) - School of Mathematical and Statistical Sciences, University of Texas at Austin - Red McCombs School of Business, University of Chicago - Booth School of Business - Econometrics and Statistics and University of Chicago - Booth School of Business
Downloads 64 (368,819)
Citation 3

Abstract:

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linear regression, regularization, treatment effect estimation, shrinkage