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Barroso, Pedro; Santa-Clara, Pedro - In: Journal of Financial Economics 116 (2015) 1, pp. 111-120

Compared with the market, value, or size factors, momentum has offered investors the highest Sharpe ratio. However, momentum has also had the worst crashes, making the strategy unappealing to investors who dislike negative skewness and kurtosis. We find that the risk of momentum is highly...

Persistent link: https://www.econbiz.de/10011263126

Lest we forget : learn from out-of-sample forecast errors when optimizing portfolios

Barroso, Pedro; Saxena, Konark - In: The review of financial studies 35 (2022) 3, pp. 1222-1278

Persistent link: https://www.econbiz.de/10012878988

Hedging with an edge : parametric currency overlay

Barroso, Pedro; Reichenecker, Jurij-Andrei; Menichetti, … - In: Management science : journal of the Institute for … 68 (2022) 1, pp. 669-689

Persistent link: https://www.econbiz.de/10012821248

Beyond the carry trade : optimal currency portfolios

Barroso, Pedro; Santa-Clara, Pedro - In: Journal of financial and quantitative analysis : JFQA 50 (2015) 5, pp. 1037-1056

Persistent link: https://www.econbiz.de/10011431137

Time-varying state variable risk premia in the ICAPM

Barroso, Pedro; Boons, Martijn; Karehnke, Paul - In: Journal of financial economics 139 (2021) 2, pp. 428-451

Persistent link: https://www.econbiz.de/10012693673

Do limits to arbitrage explain the benefits of volatility-managed portfolios?

Barroso, Pedro; Detzel, Andrew - In: Journal of financial economics 140 (2021) 3, pp. 744-767

Persistent link: https://www.econbiz.de/10013259593

Crowding and tail risk in momentum returns

Barroso, Pedro; Edelen, Roger M.; Karehnke, Paul - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 4, pp. 1313-1342

Persistent link: https://www.econbiz.de/10013270306