"Eu quase que nada não sei. Mas desconfio de muita coisa."
– Guimarães Rosa in "Grande Sertão: Veredas"
Risk Budgeting Mean-Variance Portfolios – new draft coming soon!
(joint with Rodrigo Targino and Bernardo Costa)
Asymmetric Violations of the Spanning Hypothesis - R&R at the Journal of Financial and Quantitative Analysis
(joint with Gustavo Freire)
Winner of Best Paper Award at the 2026 Asian Meeting of the Econometric Society (AMES) – Check it out!
How much unspanned volatility can different shocks explain?
Runner-up prize for best Quantitative Finance paper at the 2024 Brazilian Finance Society Meeting
Subjective Beliefs, Disagreement, and Market Return Predictability - R&R at Critical Finance Review
(joint with Felipe Iachan)