My main area of interest is Finance, especially Behavior Finance, Risk Management, Derivative Pricing and Performance Evaluation. During the Master studies, my research was focused in derivative pricing, more specifically on the IDI option from the Brazilian Deriative Exchange (BM&F). During the PhD studies, my research was focused on Behavior Finance, altough some research in risk management was also undertaken. Since I work for the Risk Management area for monetary policy in the Central Bank of Brazil, I have interest and papers published in this area also. Currently, my research is in the area of volatility risk premia, short-selling and monetary policy.
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Combining equilibrium, resampling, and analyst's views in portfolio optimization, with José Luiz Barros Fernandes and Oscar Augusto Martínez Cusicanqui. Journal of Banking and Finance 2012, v. 36, No 5, pp. 1354-1361. DOI: 10.1016/j.jbankfin.2011.11.023.
Yes, the Choice of Performance Measure Does Matter for Ranking of US Mutual Funds, with Antonio Francisco Silva Jr and José Luiz Fernandez, International Journal of Finance and Economics v. 17, No 1, pp. 61-72, 2012. DOI: 10.1002/ijfe.437.
Recovering Risk-Neutral Densities from Brazilian Interest Rate Options', written with Marcelo Takami, Brazilian Finance Review V. 9 (1), pp. 9-26, 2011.
Accounting for Skewness in Performance Evaluation of Brazilian Mutual Fund written together with Aquiles Farias and Antonio Francisco Silva Junior. Banking and Finance Review v. 1, p. 119-132, 2009.
Professional portfolio managers: a setting for momentum strategies, written together with José Luiz Fernandez, Benjamin Tabak e Ignacio Pena. Revista Economía Financiera, v. 17, p. 54-68, 2009.
Minimising Operational Risk in Portfolio Allocation Decisions written together with José Luiz Fernandez, Journal of Risk Management in Financial Institutions, v. 2, p. 438-450, 2009.
Goodness-of-Fit Test Focuses on Conditional Value at Risk written together with Aquiles Farias e José Fajardo. Brazilian Finance Review v. 6, p. 139-155, 2008
Momentum and Reversal Puzzle in Emerging Markets, written together with José Luiz Fernandez.. The ICFAI Journal of Behavioral Finance, v. 5, p. 54-71, 2008.
Integrating Market and Credit Risk in Stochastic Portfolio Optimization, written together with José Luiz Fernandez and Marcelo Takami. The ICFAI Journal of Financial Risk Management, v. 5, p. 7-28, 2008.
Goodness-of-fit Tests focus on VaR Estimation, with José S. Fajardo and Aquiles Aquiles R. Farias, Brazilian Review of Econometrics, Vol. 26, Number 2, 2006.
Analyzing The Use of Generalized Hyperbolic Distributions to Value at Risk Calculations, with José S. Fajardo and Aquiles R. Farias, Brazilian Journal of Applied Economics, Vol. 9, Number 1, 2005.
Apreçamento de Opções de IDI Usando Distribuições Hiperbólicas Generalizadas (in Portuguese), with J. S. Fajardo, Brazilian Journal of Applied Economics, Vol. 7, Number 4, 2003.
Apreçamento de Opções de IDI Usando o Modelo CIR (in Portuguese), with J. S. Fajardo, Estudos Econômicos, Vol. 33 – Number 2, 2003.