Pedro Monteiro e Silva Barroso

Associate Professor
Pedro Barroso is an Associate Professor 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.
Paper

Do Limits to Arbitrage Explain the Benefits of Volatility-Managed Portfolios?

CATÓLICA-LISBON Researcher(s): Pedro Monteiro e Silva Barroso
Pedro Barroso, SSRN Electronic Journa…, 2018
Paper

The Risk-Return Tradeoo Among Equity Factors

CATÓLICA-LISBON Researcher(s): Pedro Monteiro e Silva Barroso
Pedro Barroso, SSRN Electronic Journa…, 2018
Paper

Hedging with an Edge: Parametric Currency Overlay

CATÓLICA-LISBON Researcher(s): Pedro Monteiro e Silva Barroso
Pedro Barroso, SSRN Electronic Journa…, 2017
Paper

Institutional Crowding and the Moments of Momentum

CATÓLICA-LISBON Researcher(s): Pedro Monteiro e Silva Barroso
Pedro Barroso, SSRN Electronic Journa…, 2017
Paper

Lest we forget: Using Out-Of-Sample Errors in Portfolio Optimization

CATÓLICA-LISBON Researcher(s): Pedro Monteiro e Silva Barroso
Pedro Barroso, SSRN Electronic Journa…, 2017
Paper

Time-Varying Predictability of Consumption Growth, Macro-Uncertainty, and Risk Premiums

CATÓLICA-LISBON Researcher(s): Pedro Monteiro e Silva Barroso
Pedro Barroso, SSRN Electronic Journa…, 2017
Paper

Beyond the Carry Trade: Optimal Currency Portfolios

CATÓLICA-LISBON Researcher(s): Pedro Monteiro e Silva Barroso
Pedro Barroso, Journal of Financial and Quantitative Analysi…, 2015
Paper

Momentum has its moments

CATÓLICA-LISBON Researcher(s): Pedro Monteiro e Silva Barroso
Pedro Barroso, Journal of Financial Economic…, 2015
Paper

Beyond the Carry Trade: Optimal Currency Portfolios

CATÓLICA-LISBON Researcher(s): Pedro Monteiro e Silva Barroso
Pedro Barroso, SSRN Electronic Journa…, 2012
Paper

The Bottom-Up Beta of Momentum

CATÓLICA-LISBON Researcher(s): Pedro Monteiro e Silva Barroso
Pedro Barroso, SSRN Electronic Journa…, 2012