top of page

Artigos Acadêmicos Publicados

  1. “Asset Allocation under Regimes in European Economies” com Sebastien Berujon e Marcelo Lewin: aceito no International Journal of Accounting and Finance.

  2. “Optimal Constrained Strategies for Factor-Based Investing in the Brazilian Stock Market” com Marcelo Lewon: aceito na Revista Contabilidade & Finanças.

  3. “Assessing Risk Adjustment for Non-Life Insurance under IFRS 17 (Short Version)” com Thiago Pedra Signorelli e César da Rocha Neves: Revista Brasileira de Risco e Seguro, Vol. 16, No. 28, 47 – 65, 2023.

  4. “Brazilian REITs: Are They an Opportunity for Diversification and Performance?” com Márcio Rodrigues Bernardo e Raphael Moses Roquete: Journal of Real Estate Portfolio Management, Vol. 29, No. 2, 127 – 139, 2023.

  5. “Análise das Estruturas a Termo Fixadas pela Susep” com Thiago Pedra Signorelli: REAd - Revista Eletrônica de Administração, Vol. 29, No. 1, 261 – 286, 2023.

  6. "Impactando Empreendedores de Impacto" com Matheus Lopes Pereira e Tatiana Botelho: Guayí Ventures, 2023.

  7. “Extrapolating Long-Run Yield Curves: An Innovative and Consistent Approach” com Thiago Pedra Signorelli e César da Rocha Neves: North American Actuarial Journal, Vol. 27, No. 3, 472 – 492, 2023.

  8. “Constrained Portfolio Strategies in a Regime-Switching Economy” com Marcelo Lewin: Financial Markets and Portfolio Management, No. 37, 27 – 59, 2023.

  9. “Dividend-Yield Variation as a Predictor in Momentum Strategies: Analysis of Brazilian REITs” com Luis Henrique Scherer Greenhalgh Barreto: Revista Contabilidade & Finanças, Vol. 34, No. 91, 1 – 18, 2023.

  10. “Direct Approach to Assess Risk Adjustment under IFRS 17” com Thiago Pedra Signorelli e César da Rocha Neves: Revista Contabilidade & Finanças, Vol. 33, No. 90, 1 – 15, 2022.

  11. “Como Classificar Agentes Públicos do Sistema Financeiro Nacional Quanto à sua Vulnerabilidade a Erros Decisórios?” com Ronaldo Andrade Deccax:  Cadernos ENAP, No. 102, 1 – 74, 2022.

  12. “MAC: Uma Proposta para Metas Atuariais Consistentes em Fundos de Pensão” com Sandro Azambuja:  RAC - Revista de Administração Contemporânea, Vol. 26, No. 3, 1 – 23, 2022.

  13. “Segmentação de Investidores em Previdência para Fins de Fidelização e de Captação de Clientes” com Ronaldo Andrade Deccax: Brazilian Business Review, Vol. 19, No. 1, 19 – 38, 2022.

  14. “Optimal Portfolio Strategies in the Presence of Regimes in Asset Returns” com René Garcia e Marcelo Lewin: Journal of Banking & Finance, Vol. 123, No. 106030, 1 – 17, 2021.

  15. “Imposto de Renda nos Planos da Família PGBL e VGBL: Análise da Tributação Progressiva e Regressiva” com Fábio Garrido Leal Martins: Revista Brasileira de Gestão de Negócios, Vol. 23, No. 2, 388 – 404, 2021.

  16. “The Impact of Alternative Assets on the Performance of Brazilian Private Pension Funds” com Francis Amin Flores e Raphael Moses Roquete: Revista Contabilidade & Finanças,  Vol. 32, No. 86, 314 – 330, 2021.

  17. “Os Impactos das Criptomoedas na Performance de Portfólios de Ações Brasileiras” com Mateus Alves Martins Portelinha e Raphael Moses Roquete: Economics Bulletin,  Vol. 41, No. 3, 1919 – 1931, 2021.

  18. “Founder’s Added Value in a Startup Valuation: Could an Expert be Worth an Extra Penny?” com Yan Cheng e Raphael Moses Roquete: Revista Ciências Administrativas Vol. 27, No. 3, 1 – 9, 2021.

  19. “Análise da Curva de Juros Reais no Brasil” com Rafael Cardoso do Nascimento e Raphael Moses Roquete: Base - Revista de Administração e Contabilidade da Unisinos, Vol. 18, No. 4, 611 – 634, 2021.

  20. “Redução da Desigualdade Tributária entre Empresas Via Novo Pilar Previdenciário” com Sandro Azambuja: REDECA (Revista Eletrônica do Departamento de Ciências Contábeis e Atuária e Métodos Quantitativos FEA/PUC-SP), Vol. 8, No. 1, 52 – 78, 2021.

  21. “Framework to Structure the Brazilian Electricity Futures Market” com Waldemar Antônio da Rocha de Souza, Martin Bohl, Rafael Palazzi e Felipe Arujo de Oliveira: International Journal of Energy Sector Management, Vol. 15, No. 5, 914 – 932, 2021.

  22. “Internal Rate of Return of Social Security Regimes in Brazil: An Analysis of the Reforms from 1988 to 2018” com André Rodrigues Pereira: Revista de Administração Pública e Gestão Social, Vol. 13, No. 1, 2021.

  23. “Análise de Performance e de Alocação de Fundos de Pensão de Servidores Públicos” com Fábio Garrido Leal Martins: Revista Brasileira de Risco e Seguro,  Vol. 15, No. 27, 21 – 46, 2020.

  24. “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.

  25. “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.

  26. “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.

  27. “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.

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

  29. “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.

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

  31. “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.

  32. “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.

  33. “Exchange Options in the REIT Industry” com Tumellano Sehebela e Gianluca Marcato: Advances in Investment Analysis and Portfolio Management, Vol. 9, 217 – 252, 2019.

  34. “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.

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

  36. “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.

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

  38. “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.

  39. “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.

  40. “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.

  41. “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.  

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

  43. “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.

  44. “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.  

  45. “Corporate Governance and Fundamental Indexation in Brazil” com Raphael Moses Roquete e Ricardo Pereira Câmara Leal: Economics Bulletin, Vol. 38, No. 3, 141 – 152, 2018.  

  46. “Fundamental Indexation in Brazil: A Competitive Strategy?” com Raphael Moses Roquete e Ricardo Pereira Câmara Leal: Review of Business Management, Vol. 20, No. 3, 361 – 377, 2018.  

  47. “Private Pension Funds: Passivity at Active Fund Prices” com Leonardo Mesquita de Brito: Revista Contabilidade & Finanças, Vol. 29, No. 76, 148 – 163, 2018.

  48. “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, No. 2, 188 – 210, 2017.

  49. “Predictive Power of Brazilian Equity Fund Performance Using R2 as a Measure of Selectivity” com Marcelo Guzella: Revista Contabilidade & Finanças, Vol. 28, No. 74, 282 – 296, 2017.

  50. “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.

  51. “Term Structure Analysis of Option Implied Volatility in the Brazilian Market” com Carlos Eduardo Fucci: Applied Mathematical Sciences, Vol. 11, No. 14, 651 – 664, 2017.

  52. “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, No. 3, 1 – 14, 2016.

  53. “Valor-Coppead Indices, Equally Weighed and Minimum Variance Portfolios” com Ricardo Pereira Câmara Leal: Revista Brasileira de Finanças, Vol. 14, No. 1, 45 – 64, 2016.

  54. “On The Correct Evaluation of Cost of Capital for Project Valuation”: Applied Mathematical Sciences, Vol. 9, No. 132, 6583 – 6604, 2015.

  55. “On the Rate of Return and Valuation of Non-Conventional Projects”: Business and Management Review, Vol. 3, No. 12, 1 – 6, November 2014.

  56. “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.

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

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

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

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

  61. “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.

bottom of page