Alves Portela Santos, Andre

Quantitative Methods

PhD: Universidad Carlos III

Office E6.4

BIO

André Portela Santos is an Assistant Professor at the Department of Quantitative Methods at CUNEF Universidad. Before joining CUNEF, he worked as a Lecturer at the University of Edinburgh Business School (UK) and as a Turing Fellow at the Alan Turing Institute in the UK. His research interests focus on financial econometrics and quantitative finance, and his articles have been published in prestigious international journals such as Journal of Financial Economics, Journal of Financial Econometrics, Journal of Banking and Finance, Journal of Empirical Finance, Quantitative Finance, Journal of Economic Behavior & Organization, Finance Research Letters, Computational Statistics & Data Analysis and Journal of Forecasting.

Research IDs:

Google Scholar: https://scholar.google.com.br/citations?hl=pt-BR&user=S80aHqcAAAAJ

Orcid: https://orcid.org/0000-0001-6134-8930

Scopus: https://www.scopus.com/authid/detail.uri?authorId=14822610700

Publications in Scientific Journals

De Miguel, Víctor; Gil-Bazo, Javier; Nogales, Francisco; Santos, A.P.: “Machine learning and fund characteristics help to select mutual funds with positive alpha”, Journal of Financial Economics, 2023.

Moura, Guilherme V; Santos, Andre A.P.; Ruiz, Esther: “Comparing high dimensional conditional covariance matrices: Implications for portfolio selection”, Journal of Banking and Finance,118, Art. 105882, 2020.

Santos, Andre A.P.: “Disentangling the role of variance and covariance information in portfolio selection problems”, Quantitative Finance, 19(1), 57-76, 2019.

Caldeira, Joao F.; Moura, Guilherme V.; Nogales, Francisco J.; Santos, Andre A.P.: “Combining multivariate volatility forecasts: an economic-based approach”, Journal of Financial Econometrics, 15(2), 247-285, 2017.

Caldeira, Joao F.; Moura, Guilherme V.; Santos, Andre A.P.: “Bond portfolio optimization using dynamic factor models”, Journal of Empirical Finance, 37, 128-158 , 2016.