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Publications by Andre A. P. Santos
On the Choice of Covariance Specifications for Portfolio Selection Problems
SSRN Electronic Journal
Related publications
Variable Selection for Portfolio Choice
Portfolio Selection Using Tikhonov Filtering to Estimate the Covariance Matrix
SIAM Journal on Financial Mathematics
Applied Mathematics
Numerical Analysis
Finance
Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice
Journal of Applied Econometrics
Economics
Econometrics
Social Sciences
Occupation-Level Income Shocks and Asset Returns: Their Covariance and Implications for Portfolio Choice
Quarterly Journal of Finance
Management
Economics
Strategy
Econometrics
Finance
Occupation-Level Income Shocks and Asset Returns: Their Covariance and Implications for Portfolio Choice
SSRN Electronic Journal
Minimum Variance Portfolio Selection for Large Number of Stocks – Application of Time-Varying Covariance Matrices
Dynamic Econometric Models
The Effect of Housing on Portfolio Choice
On the Inverse of the Covariance Matrix in Portfolio Analysis
Journal of Finance
Accounting
Economics
Econometrics
Finance
On the Stability of Portfolio Selection Models
SSRN Electronic Journal
