Crowding and Tail Risk in Momentum Returns
Pedro Barroso, Roger M. Edelen, Paul Karehnke
Journal Of Financial And Quantitative Analysis, vol. 57, 2022, p. 1313-1342.

Lest We Forget: Learn from Out-of-Sample Forecast Errors When Optimizing Portfolios.
Pedro Barroso, Konark Saxena
Review Of Financial Studies, vol. 35, 2022, p. 1222-1278.

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.