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Pedro Barroso
Pedro Barroso
Católica Lisbon School of Business and Economics
Verified email at ucp.pt - Homepage
Title
Cited by
Cited by
Year
Momentum Has Its Moments
P Barroso, P Santa-Clara
Available at SSRN 2041429, 2013
9202013
Beyond the carry trade: Optimal currency portfolios
P Barroso, P Santa-Clara
Journal of Financial and Quantitative Analysis 50 (5), 1037-1056, 2015
2122015
Do limits to arbitrage explain the benefits of volatility-managed portfolios?
P Barroso, A Detzel
Journal of Financial Economics 140 (3), 744-767, 2021
692021
The volatility puzzle of the low-risk anomaly
P Barroso, AL Detzel, P Maio
Available at SSRN, 2021
45*2021
Lest we forget: Learn from out-of-sample forecast errors when optimizing portfolios
P Barroso, K Saxena
The Review of Financial Studies 35 (3), 1222-1278, 2022
38*2022
Crowding and tail risk in momentum returns
P Barroso, RM Edelen, P Karehnke
Journal of Financial and Quantitative Analysis 57 (4), 1313-1342, 2022
30*2022
Time-varying state variable risk premia in the ICAPM
P Barroso, M Boons, P Karehnke
Journal of Financial Economics 139 (2), 428-451, 2021
28*2021
The risk-return trade-off among equity factors
P Barroso, P Maio
Journal of Empirical Finance, 101518, 2024
262024
Hedging with an edge: parametric currency overlay
P Barroso, JA Reichenecker, MJ Menichetti
Management Science 68 (1), 669-689, 2022
112022
What explains price momentum and 52-week high momentum when they really work?
P Barroso, H Wang
Available at SSRN 3716786, 2021
112021
The bottom-up beta of momentum
P Barroso
29th Australasian Finance and Banking Conference, 2016
112016
Cutting the gordian knot of carry and imbalances
P Barroso, F Kho, F Rouxelin, L Yang
Available at SSRN 3232396, 2018
10*2018
Let the Parametric Phoenix Fly
P Barroso
Let the Parametric Phoenix Fly: Barroso, Pedro, 2019
4*2019
The volatility puzzle of the beta anomaly
P Barroso, AL Detzel, PF Maio
Available at SSRN 3882108, 2023
22023
Facts, momentum and factor momentum
P Barroso, H Wang
Available at SSRN 4326731, 2023
12023
The Risk-Return Trade-Off Among Equity Factors
PFM Maio, P Barroso
Journal of Empirical Finance, 2024
2024
The Risk-Return Tradeoff Among Equity Factors
P Barroso, PF Maio
Available at SSRN 3109456, 2023
2023
Internet Appendix for Lest we forget: using out-of-sample forecast errors in portfolio optimization
P Barroso, K Saxena
Available at SSRN 3306834, 2018
2018
Calm Your Portfolio: The Importance of Disciplining Intelligent but Fickle Forecasts in Portfolio Optimization
P Barroso, K Saxena, H Wang
Online Appendix to “Time-varying state variable risk premia in the ICAPM”
P Barroso, M Boons, P Karehnke
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Articles 1–20