Artigos Acadêmicos Publicados

  1. “Imposto de Renda nos Planos da Família PGBL e VGBL: Análise da Tributação Progressiva e Regressiva” com Fábio Garrido Leal Martins: aceito na Revista Brasileira de Gestão de Negócios.

  2. Proposta de Estrutura a Termo de Taxas de Juros para Utilização por Planos de Previdência Complementar Aberta”: Inovação em Seguros, Cap. 3, 77 – 99, 2020.

  3. “The Impact of Alternative Assets on the Performance of Brazilian Private Pension Funds” com Francis Amin Flores e Raphael Moses Roquete: aceito na Revista de Contabilidade & Finanças

  4. Portfolio Management under Multiple Regimes: Out-of-Sample Performance in the Brazilian Market” com Marcelo Lewin: RBFin – Revista Brasileira de Finanças, Vol. 18, No. 3, 52 – 79, 2020.

  5. Case Study: Vale S.A. – Cobalt Streaming” com Flávia Freitas, Viktor Moszkowicz, Raphael Moses Roquete e Flávia Maranho: RAC – Revista de Administração Contemporânea, Vol. 24, No. 6, 600 – 617, 2020.

  6. Portfolio Management under Multiple Regimes: Strategies that Outperform the Market” com Marcelo Lewin: RAC – Revista de Administração Contemporânea, Vol. 24, No. 4, 300 – 316, 2020.

  7. Equally Weighted Portfolios and Momentum Effect: An Interesting Combination for Unsophisticated Investors?” com Fábio Civiletti e Raphael Moses Roquete: BBR – Brazilian Business Review, Vol. 17, No. 5, 506 – 522, 2020.

  8. Performance of Retirement Funds: An Analysis Focused on Pure Insurance Companies” com William Clem Soares: Revista de Contabilidade & Finanças,  Vol. 31, No. 84, 490 – 523, 2020.

  9. “Internal Rate of Return of Social Security Regimes in Brazil: An Analysis of the Reforms from 1988 to 2018” com André Rodrigues Pereira: aceito na Revista de Administração Pública e Gestão Social.

  10. PGBL and VGBL Private Pension Plans: An Analysis of the Brazilian Market” com Thiago Roberto Dias Costa, Fábio Garrido Leal Martins e Sandro Azambuja: Revista Sociedade, Contabilidade e Gestão, Vol. 15, No. 1, 122 – 141, 2020.

  11. Liability Driven Investment with Alternative Assets: Evidence from Brazil” com Márcio R. Bernardo: Emerging Markets Review, Vol. 41, edição de dezembro, 1 – 15, 2019.

  12. Impactos da Reforma da Previdência nos Déficits dos Planos de Contribuição Variável” com Sandro Azambuja: Revista de Gestão, Finanças e Contabilidade, Vol. 9, No. 3, 107 – 133, 2019.

  13. The Heuristics of Representativeness and the Bias of Overconfidence on Entrepreneurs” com Natália Dias, Marcos Ávila e Flávia Maranho: Latin American Business Review, Vol. 20, No. 4, 317 – 340, 2019.

  14. Exchange Options in the REIT Industry” com Tumellano Sehebela e Gianluca Marcato: Advances in Investment Analysis and Portfolio Management, Vol. 9, 219 – 254, 2019.

  15. Quantifying the Value of Information: The Case Study of a Natural Gas Field Exploration and Production Project” com Renato Silveira Guimarães e Rafael Cardoso do Nascimento: Revista Economia & Gestão, Vol. 19, No. 53,  73 – 87, 2019.

  16. Use Test Application of Capital Internal Models in the Brazilian Insurance Market” com Rafael Calzavara: Revista Brasileira de Risco e Seguros, Vol. 15, No. 25, 51 – 84, 2019.

  17. Regime de Capitalização na Previdência Pública: Uma Análise de Experiências Internacionais” com André Pereira: The CFA Society Brazil, 1 – 58, 2019.

  18. Approximate Analytical Solutions for Consumption/Investment Problems under Recursive Utility and Finite Horizon” com René Garcia: The North American Journal of Economics and Finance, Vol. 48, 364 – 384, 2019.

  19. Administrative Costs of Pension Funds: The Impact of Fund Characteristics” com Ian Richard de Ridder: Economics Bulletin, Vol. 39, No. 2, 1361 – 1370, 2019.

  20. Who Loses and Who Wins with the PEC 287/2016? An Analysis of the Pension Wealth Variation for the Urban Beneficiary of the Brazilian Social Security System” com Fábio Garrido Leal Martins: Revista de Administração Pública (RAP), Vol. 53, No. 2, 432 – 460, 2019.

  21. Investor Segmentation: How to Improve Current Techniques by incorporating Behavioral Finance Concepts?” com Ronaldo Andrade Deccax: International Journal of Economics and Business Research, Vol. 18, No. 1, 31 – 48, 2019.

  22. Formulation of Brazilian Sugar Basis Forecasting using Time Series Models: Comparison between the Northeast and Southeast Spot and Ice Futures Markets” com Felipe Araujo de Oliveira, Márcio Rodrigues Bernardo e Waldemar Antônio da Rocha de Souza: International Research Journal of Finance and Economics, Vol. 172, 20 – 34, 2019.

  23. Investing in Real Estate: Is It Worth? A Square Meter Valuation Analysis in the Real Estate Market of Great Vitória” com Emmanuel Marques Silva: Revista de Ciências da Administração, Vol. 20, No. 52, 8 – 22, 2018.  

  24. Pensando na Aposentadoria: PGBL, VGBL ou Autoprevidência?” com Thiago Roberto Dias Costa: Revista Brasileira de Risco e Seguros, Vol. 14, No. 24, 19 – 46, 2018.

  25. Forecasting Dollar-Real Currency Rate Using Realized and Implied Volatility Data” com Assis Gustavo da Silva Durães: Revista Estudos Econômicos, Vol. 48, No. 4, 687 – 719, 2018.

  26. Volatility Smiles When Information is Lagged in Prices” com Gianluca Marcato e Tumellano Sebehela: The North American Journal of Economics and Finance, Vol. 46, 151 – 165, 2018.  

  27. Corporate Governance and Fundamental Indexation in Brazil” com Raphael Moses Roquete e Ricardo Pereira Câmara Leal: Economics Bulletin, Vol. 38, N. 3, 141 – 152, 2018.  

  28. Fundamental Indexation in Brazil: A Competitive Strategy?” com Raphael Moses Roquete e Ricardo Pereira Câmara Leal: Review of Business Management, Vol. 20, N. 3, 361 – 377, 2018.  

  29. Private Pension Funds: Passivity at Active Fund Prices” com Leonardo Mesquita de Brito: Revista Contabilidade & Finanças, Vol. 29, N. 76, 148 – 163, 2018.

  30. Effects of Exchange Rate Volatility on Brazilian Exports” com Osmar José Bertholini Pianca e Rafael Cardoso do Nascimento: Contextus - Revista Contemporânea de Economia e Gestão, Vol. 15, N. 2, 188 – 210, 2017.

  31. Predictive Power of Brazilian Equity Fund Performance Using R2 as a Measure of Selectivity” com Marcelo Guzella: Revista Contabilidade & Finanças, Vol. 28, N. 74, 282 – 296, 2017.

  32. Stock Fund Selection and the Individual Investor” com João Antonio de Mendonça Junior e Ricardo Pereira Câmara Leal: RAC – Revista de Administração Contemporânea, Vol. 21, Special Edition FCG, 41 – 62, 2017.

  33. Term Structure Analysis of Option Implied Volatility in the Brazilian Market” com Carlos Eduardo Fucci: Applied Mathematical Sciences, Vol. 11, N. 14, 651 – 664, 2017.

  34. Case Study: Antera Asset Management – The Challenges of VC Management” com Henrique Alvarenga, Max Borges, Renato Guimarães e Flavia Maranho: RAEP – Administração: Ensino e Pesquisa, Vol. 17, N. 3, 1 – 14, 2016.

  35. Valor-Coppead Indices, Equally Weighed and Minimum Variance Portfolios” com Ricardo Pereira Câmara Leal: Revista Brasileira de Finanças, Vol. 14, N. 1, 45 – 64, 2016.

  36. On The Correct Evaluation of Cost of Capital for Project Valuation”: Applied Mathematical Sciences, Vol. 9, N. 132, 6583 – 6604, 2015.

  37. On the Rate of Return and Valuation of Non-Conventional Projects”: Business and Management Review, Vol. 3, N. 12, 1 – 6, November 2014.

  38. A Review of Corporate Bond Indices: Assessing Fluctuations in Risk Exposures” com Saad Badaoui e Felix Goltz: Bankers, Markets and Investors, 124, May-June 2013.

  39. Essays in Asset Allocation with Recursive Utility and Regimes in Asset Returns”: Ph.D. Thesis, January 2013.

  40. A Review of Corporate Bond Indices: Construction Principles, Return Heterogeneity and Fluctuations in Risk Exposures” com Felix Goltz:  EDHEC-Risk Publication, June 2011.

  41. Are Currently Available Corporate Bond Indices Optimal for Investors?” com Felix Goltz: IPE - Investment & Pensions Europe, Winter 2010/11.

  42. Option Valuation in the Brazilian Financial Market: The Hyperbolic Sine Model vs. The Black and Scholes Model”: M.Sc. Dissertation, 2004.

  43. The Two Factor Model Illustration – Risk Premium Brazil and Global Risk Premium – as Applied to the Brazilian Stock Market” com Luiz Cláudio Valmont e Roberto Koeler Lira: COPPEAD Publication, 2003.