"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
(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 - Revise and Resubmit at Critical Finance Review
(joint with Felipe Iachan)