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Pedro Barroso. Concluiu o(a) Doutoramento em Finanças em 2012 pela Universidade Nova de Lisboa Nova School of Business and Economics. Publicou 7 artigos em revistas especializadas. Atua na(s) área(s) de Ciências Sociais em Economia e Gestão, mais especificamente em Economia e Finanças. No seu currículo Ciência Vitae os termos mais frequentes na contextualização da produção científica e tecnológica são: Portfolio optimization; Risk management; Machine learning; Carteiras optimizadas; Gestão do risco; Mean-variance; Option-implied volatility; Option-implied correlation; Value-at-Risk (VaR); Tail risk; Otimização da carteira; Risco de cauda; Parametric portfolio policy; Industry investing; Sector investing; Asset allocation; Investimento em indústrias; Investimento em setores; Alocação de ativos; Asset pricing; Fama and french; Six-factor model; Stock portfolios; Germany; Precificação de ativos; Fama e french; Modelo de seis fatores; Portfólios de ações; Alemanha; Estimation error; Covariance matrix; momentum; anomalies; low risk anomaly; FX market; volatility management; .
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Identification

Personal identification

Full name
Pedro Barroso

Citation names

  • Barroso, Pedro

Author identifiers

Ciência ID
A91D-5E43-AF7F
ORCID iD
0000-0002-6983-3620

Telephones

Mobile phone
  • (351) 910704387 (Personal)

Addresses

  • Rua Comandante Fontoura da Costa, nº23, 5º A, 2765-007, São Pedro do Estoril, Cascais, Portugal (Personal)

Websites

Knowledge fields

  • Social Sciences - Economics and Business

Languages

Language Speaking Reading Writing Listening Peer-review
Portuguese (Mother tongue)
English Proficiency (C2) Proficiency (C2) Proficiency (C2) Proficiency (C2) Proficiency (C2)
Spanish; Castilian Intermediate (B1) Upper intermediate (B2) Elementary (A2) Intermediate (B1) Intermediate (B1)
French Intermediate (B1) Upper intermediate (B2) Elementary (A2) Upper intermediate (B2) Elementary (A2)
Education
Degree Classification
2007/09/01 - 2012/07/01
Concluded
 Economia (Doutoramento)
Major in Finanças
Universidade Nova de Lisboa Nova School of Business and Economics, Portugal
"Three Essays in Financial Markets" (THESIS/DISSERTATION)
 Distinção e Louvor
1996/10/01 - 1999/07/14
Concluded
 Economia Internacional (Mestrado)
ISEG Lisbon School of Economics and Management, Portugal
"O impacto do programa de mercado único em Portugal: Uma abordagem da Geografia Económica" (THESIS/DISSERTATION)
 16 valores
1992/10/01 - 1996/06/01
Concluded
 Economia (Licenciatura)
ISEG Lisbon School of Economics and Management, Portugal
 13 valores
Affiliation

Science

Category
Host institution 		Employer
2013/02/01 - 2013/08/31 Postdoc (Research) Fundação para a Ciência e a Tecnologia, Portugal
Universidade Nova de Lisboa Nova School of Business and Economics, Portugal

Teaching in Higher Education

Category
Host institution 		Employer
2020/09/01 - Current Associate Professor (University Teacher) Universidade Católica Portuguesa Faculdade de Ciências Económicas e Empresariais, Portugal
Universidade Católica Portuguesa Faculdade de Ciências Económicas e Empresariais, Portugal
2014/10/01 - 2020/09/30 Assistant Professor (University Teacher) University of New South Wales Business School, Australia
University of New South Wales Department of Banking and Finance, Australia
2013/09/01 - 2014/09/30 Assistant Professor (University Teacher) University of Exeter Business School, United Kingdom
2012/09/01 - 2013/01/30 Visiting Professor (University Teacher) Universidade Nova de Lisboa Nova School of Business and Economics, Portugal
2011/09/01 - 2012/08/31 Invited Assistant (University Teacher) Universidade Nova de Lisboa Nova School of Business and Economics, Portugal
2000/10/01 - 2010/08/31 Invited Assistant (University Teacher) Atlântica Escola Universitária de Ciências Empresariais Saúde Tecnologias e Engenharia, Portugal
1999/10/01 - 2002/08/31 Invited Assistant (University Teacher) Universidade Lusófona, Portugal

Other Careers

Category
Host institution 		Employer
1999/09/01 - 2000/08/31 Técnico Superior (Técnico Superior) Instituto Nacional de Estatistica, Portugal
Universidade do Porto Departamento de Geografia, Portugal
Projects

Contract

Designation Funders
2008/10/01 - 2012/09/30 PROGRAMA DE DOUTORAMENTO E MESTRADO EM FINANÇAS
SFRH/BD/42087/2007
 Fundação para a Ciência e a Tecnologia
Concluded
Outputs

Publications

Journal article
  1. Pedro Barroso; Jurij-Andrei Reichenecker; Marco J. Menichetti. "Hedging with an Edge: Parametric Currency Overlay". Management Science 68 1 (2022): 669-689. https://doi.org/10.1287/mnsc.2020.3872.
    10.1287/mnsc.2020.3872
  2. Barroso, Pedro; Saxena, Konark. "Lest We Forget: Learn from Out-of-Sample Forecast Errors When Optimizing Portfolios". The Review of Financial Studies 35 3 (2021): 1222-1278. http://dx.doi.org/10.1093/rfs/hhab041.
    10.1093/rfs/hhab041
  3. Barroso, P.; Detzel, A.. "Do limits to arbitrage explain the benefits of volatility-managed portfolios?". Journal of Financial Economics (2021): http://www.scopus.com/inward/record.url?eid=2-s2.0-85102477235&partnerID=MN8TOARS.
    10.1016/j.jfineco.2021.02.009
  4. Barroso, P.; Boons, M.; Karehnke, P.. "Time-varying state variable risk premia in the ICAPM". Journal of Financial Economics 139 2 (2021): 428-451. http://www.scopus.com/inward/record.url?eid=2-s2.0-85089248040&partnerID=MN8TOARS.
    10.1016/j.jfineco.2020.07.016
  5. Pedro Barroso; Paulo F. Maio. "The Risk-Return Tradeoo Among Equity Factors". SSRN Electronic Journal (2018): https://doi.org/10.2139%2Fssrn.3109456.
    10.2139/ssrn.3109456
  6. Pedro Barroso; Andrew L. Detzel. "Do Limits to Arbitrage Explain the Benefits of Volatility-Managed Portfolios?". SSRN Electronic Journal (2018): https://doi.org/10.2139%2Fssrn.3088828.
    10.2139/ssrn.3088828
  7. Pedro Barroso; Martijn Boons; Paul Karehnke. "Time-Varying Predictability of Consumption Growth, Macro-Uncertainty, and Risk Premiums". SSRN Electronic Journal (2017): https://doi.org/10.2139%2Fssrn.2933449.
    10.2139/ssrn.2933449
  8. Pedro Barroso. "Lest we forget: Using Out-Of-Sample Errors in Portfolio Optimization". SSRN Electronic Journal (2017): https://doi.org/10.2139%2Fssrn.2771664.
    10.2139/ssrn.2771664
  9. Pedro Barroso; Roger M. Edelen; Paul Karehnke. "Institutional Crowding and the Moments of Momentum". SSRN Electronic Journal (2017): https://doi.org/10.2139%2Fssrn.3045019.
    10.2139/ssrn.3045019
  10. Pedro Barroso; Marco J. Menichetti; Jurij-Andrei Reichenecker. "Hedging with an Edge: Parametric Currency Overlay". SSRN Electronic Journal (2017): https://doi.org/10.2139%2Fssrn.3020981.
    10.2139/ssrn.3020981
  11. Pedro Barroso; Pedro Santa-Clara. "Beyond the Carry Trade: Optimal Currency Portfolios". Journal of Financial and Quantitative Analysis 50 05 (2015): 1037-1056. https://doi.org/10.1017%2Fs0022109015000460.
    10.1017/s0022109015000460
  12. Barroso, Pedro; Santa-Clara, Pedro. "Beyond the Carry Trade: Optimal Currency Portfolios". Journal of Financial and Quantitative Analysis 50 5 (2015): 1037-1056. http://dx.doi.org/10.1017/s0022109015000460.
    10.1017/s0022109015000460
  13. Pedro Barroso; Pedro Santa-Clara. "Momentum has its moments". Journal of Financial Economics 116 1 (2015): 111-120. https://doi.org/10.1016%2Fj.jfineco.2014.11.010.
    10.1016/j.jfineco.2014.11.010
  14. Barroso, Pedro; Santa-Clara, Pedro. "Momentum has its moments". Journal of Financial Economics 116 1 (2015): 111-120. http://dx.doi.org/10.1016/j.jfineco.2014.11.010.
    10.1016/j.jfineco.2014.11.010
  15. Pedro Barroso; Pedro Santa-Clara. "Beyond the Carry Trade: Optimal Currency Portfolios". SSRN Electronic Journal (2012): https://doi.org/10.2139%2Fssrn.2041460.
    10.2139/ssrn.2041460
  16. Pedro Barroso. "The Bottom-Up Beta of Momentum". SSRN Electronic Journal (2012): https://doi.org/10.2139%2Fssrn.2144204.
    10.2139/ssrn.2144204
Thesis / Dissertation
  1. Novak, Daniel Georg. "The fama and french six-factor model : evidence for the german market". Master, 2022. http://hdl.handle.net/10400.14/36816.
  2. Slensvik, Jonas Ulfeng. "Learning from out-of-sample errors in Norway´s stock market". Master, 2021. http://hdl.handle.net/10400.14/35838.
  3. Ferreira, Mackenzie Mark Galvão. "Using option-implied information in portfolio selection and risk management". Master, 2021. http://hdl.handle.net/10400.14/35556.
  4. Goldberg, João Victor Possollo Siano. "Industry investing under parametric portfolio policy". Master, 2021. http://hdl.handle.net/10400.14/35816.
Working paper
  1. Barroso, Pedro; Saxena, Konark. 2020. "Lest we forget: learn from out-of-sample errors when optimizing portfolios". http://hdl.handle.net/10400.14/35011.
Activities

Oral presentation

Presentation title Event name
Host (Event location)
2024/01/30 What Explains Price Momentum and 52-Week High Momentum When They Really Work? Invited seminar
University of Liverpool (Liverpool, United Kingdom)
2023/10/16 What Explains Price Momentum and 52-Week High Momentum When They Really Work? Invited seminar
University of Strathclyde (Glasgow, United Kingdom)
2023/10/02 Facts , Momentum and Factor Momentum Invited seminar
Poznan University (Poland)
2023/07/06 Facts, momentum, and factor momentum Portuguese Finance Network conference
Universidade da Madeira (Funchal)
2023/06/19 What Explains Price Momentum and 52-Week High Momentum When They Really Work? Invited seminar
Queen's University of London (Londres, United Kingdom)
2023/06/08 Facts, momentum, and factor momentum FMA Europe
Aalborg University (Aalborg, Denmark)
2023/06 What explains price momentum and 52-week high momentum when they really work? Behavioural Finance Working Group conference
Queen's University of London (Londres, United Kingdom)
2023/04/28 Facts , Momentum and Factor Momentum Invited seminar
University of Liechtenstein (Vaduz, Liechtenstein)
2023/04/10 Calm Your Portfolio: The Importance of Disciplining Intelligent but Fickle Forecasts in Portfolio Optimization FMCG 2023 conference
Deakin Business School (Melbourne, Australia)
2023/02/10 What Explains Price Momentum and 52-Week High Momentum When They Really Work? CEPR Advanced Forum for Financial Economists (CAFFE)
EDHEC (France)
2023/01/11 Facts , Momentum and Factor Momentum Invited seminar
Queen's University of Belfast (Belfast, United Kingdom)
2023 What Explains Price Momentum and 52-Week High Momentum When They Really Work? Invited seminar
Bayes Business School (Londres, United Kingdom)
2021/07/11 What Explains Price Momentum and 52-Week High Momentum When They Really Work?, China International Conference in Finance (CICF)
MIT and Tsinghua University (Shangai, China)
2017/06/27 Managing the Risk of the 'Betting-Against-Beta' Anomaly: Does It Pay to Bet Against Beta? European Financial Management Anual Meeting
The American College of Greece (Atenas, Greece)
2016/07/14 Do external imbalances matter in explaining the cross-section of currency excess returns? China International Conference in Finance (CICF)
MIT and Tsinghua University (Hangshow, China)

Ad Hoc journal article review

Journal title (ISSN) Publisher
2018/02/01 - Current Journal of Finance Wiley-Blackwell
2017/11/01 - Current Review of Financial Studies Oxford University Press
2017/09/01 - Current Journal of Banking and Finance Elsevier
2017/07/01 - Current Review of Finance Oxford University Press
2016/11 - Current Journal of Financial and Quantitative Analysis Cambridge University Press
2016/01/01 - Current Management Science Informs PubsOnline
2015/09/01 - Current Journal of Financial Economics Elsevier

Conference scientific committee

Conference name Conference host
2023/02/01 - Current EFA European Financial Association
2020/02/01 - 2020/02/29 European Finance Association Finland
2019/02/01 - 2019/02/28 European Finance Association Carcavelos
2018/02/01 - 2018/02/28 European Finance Association Londres
2017/02/01 - 2017/02/28 European Finance Association Manheim

Other jury / evaluation

Activity description Institution / Organization
2006/09/01 - 2008/08/31 Coordenador do Gabinete de Avaliação - A função consistiu em criar e manter metodologias para avaliação da qualidade ensino na instituição através do desenho e administração de questionários aos alunos da instituição.
2005/09/01 - 2008/08/31 Coordenador do Gabinete Erasmus. Celebração de propocolos internacionais e acompanhamento do processo administrativo dos alunos assim como do seu processo de equivalências.
Distinctions

Award

2021 Liechtenstein government Prize for Outstanding Research
Fürstentum Liechtenstein, Liechtenstein
2017 Best paper award
2017 Paper with the largest potential to publish award