Pedro Barroso is an Associate Professor with Aggregation at Católica-Lisbon School of Business and Economics. Before he held positions as Senior Lecturer (tenured) at UNSW in Sydney and Lecturer at University of Exeter (UK). Pedro did his PhD in Finance at Nova SBE (Lisbon, Portugal). His main research interests are in empirical asset pricing, anomalies, risk management, the foreign exchange market, and portfolio management. His work has been published in the JFE and in the JFQA. His most known work is on managing the risk of momentum strategies. Pedro regularly serves as referee for all top journals of finance, for Management Science, and for multiple top journals in economics (JME, JIE, and others). Besides research, he worked as a consultant for a derivatives exchange designing risk management systems.
Crowding and Tail Risk in Momentum Returns
Journal of Financial and Quantitative Analysis, 2020Download and More Details keyboard_arrow_right
Do Limits to Arbitrage explain the benefits of volatility managed portfolios?
Journal of Financial Economics, 2020Download and More Details keyboard_arrow_right
Lest we forget: learn from out-of-sample forecast errors when optimizing portfolios
The Review of Financial Studies, 2020Download and More Details keyboard_arrow_right
Hedging with an Edge: Parametric Currency Overlay
SSRN Electronic Journa…, 2017