Do Limits to Arbitrage Explain the Benefits of Volatility-Managed Portfolios?
Pedro Barroso,
Andrew Detzel
Journal of Financial Economics,
vol. 140, 2021, p. 744-767.
Time-Varying State Variable Risk Premia in the ICAPM
Pedro Barroso,
Martijn Boons,
Paul Karehnke
Journal of Financial Economics,
vol. 139, 2021, p. 428-451.