Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming LR Sant’Anna, TP Filomena, PC Guedes, D Borenstein Annals of Operations Research 258, 849-867, 2017 | 52 | 2017 |
Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection LR Sant’Anna, TP Filomena, JF Caldeira The Quarterly Review of Economics and Finance 65, 146-157, 2017 | 38 | 2017 |
Lasso-based index tracking and statistical arbitrage long-short strategies LR Sant’Anna, JF Caldeira, TP Filomena The North American Journal of Economics and Finance 51, 101055, 2020 | 29 | 2020 |
Investigating the use of statistical process control charts for index tracking portfolios L Riegel Sant'Anna, T Pascoal Filomena, J Frois Caldeira, D Borenstein Journal of the Operational Research Society 70 (10), 1622-1638, 2019 | 15 | 2019 |
Liquidity-constrained index tracking optimization models EBF Vieira, TP Filomena, LR Sant’anna, MA Lejeune Annals of Operations Research 330 (1), 73-118, 2023 | 10 | 2023 |
Risk measure index tracking model LR Sant’Anna, MB Righi, FM Müller, PC Guedes International Review of Economics & Finance 80, 361-383, 2022 | 8 | 2022 |
Rebalancing index tracking portfolios with cumulative sum (CUSUM) control charts E Nesi Bubicz, T Pascoal Filomena, L Riegel Sant’Anna, ... The Engineering Economist 66 (4), 319-345, 2021 | 6 | 2021 |
Solving the index tracking problem based on a convex reformulation for cointegration LR Sant'Anna, AD de Oliveira, TP Filomena, JF Caldeira Finance Research Letters 37, 101356, 2020 | 6 | 2020 |
Restrição de liquidez para modelos de seleção de carteiras GM Pereira, LR Sant'Anna, TP Filomena, JL Becker Revista Brasileira de Finanças 13 (2), 288-324, 2015 | 3 | 2015 |
Index Tracking com controle do número de ativos LR Sant'Anna, TP Filomena, D Borenstein Brazilian Review of Finance 12 (1), 89-119, 2014 | 3 | 2014 |
Liquidity constraint for portfolio selection models/Restricao de liquidez para modelos de selecao de carteiras. GM Pereira, LR Sant'Anna, TP Filomena, JL Becker Revista Brasileira de Financas 13 (2), 288-325, 2015 | 1 | 2015 |
Análise da concentração na indústria automobilística brasileira nas décadas de 1990 e 2000 LR Sant'anna | 1 | 2010 |
ADP320–Teoria Financeira LR Sant’Anna | | 2020 |
Essays on index tracking and portfolio optimization LR Sant'anna | | 2017 |
Can Chart Patterns Predict Price Movements? A Monte Carlo Analysis in the Brazilian Stock Market LR Sant’Anna, DF Vancin | | 2015 |
Restrição de liquidez para modelos de seleção de carteiras. G Matos Pereira, L Riegel Sant'Anna, T Pascoal Filomena, J Luiz Becker Brazilian Review of Finance/Revista Brasileira de Finanças 13 (2), 2015 | | 2015 |
Index Tracking com controle do número de ativos e aplicação com uso de algoritmos genéticos LR Sant'anna | | 2014 |