The Risk-Return Tradeoff among Equity Factors
Pedro Barroso,
Paulo Maio
Journal Of Empirical Finance,
vol. 78, 2024, p. .
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.