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.

Beyond the Carry Trade: Optimal Currency Portfolios
Pedro Barroso, Pedro Santa Clara
Journal Of Financial And Quantitative Analysis, vol. 50, 2015, p. 1037-1056.