Gonçalo Manuel Albuquerque Pereira Oliveira de Faria

Associate Professor

Generic Bio

Gonçalo Faria holds a Ph.D. from the University of Porto (2010).

He is an Associate Professor of Finance at Católica Porto Business School and at the School of Economics and Finance in Queen Mary University of London.

His main areas of research are asset pricing and asset management, covering theoretical and empirical topics related with ambiguity, derivatives pricing, derivative trading strategies, forecasting of stock returns, volatility and correlation risks.

His past research has been published in peer review journals and his current research has been awarded with research grants from the IFSID and the Global Risk Institute, from BNP Paribas Hedge Fund Centre at SMU, from INQUIRE Europe and from Netspar at Tilburg University.

Gonçalo consults for Asset Management companies, Multi‑Family Offices and Private Equity Funds.

In the past, was Managing Partner of a Hedge Fund, equity analyst and proprietary trader at Bank BPI and auditor at Arthur Andersen.

For more information: https://sites.google.com/site/goncaloalbfaria/home

Paper

A closed-form solution for options with ambiguity about stochastic volatility

Gonçalo Manuel Albuquerque Pereira Oliveira de Faria (with Faria, G.). 2014. Review of Derivatives Research
Other

Forecasting Stock Market Returns by Summing the Frequency-Decomposed Parts

Paper

Forecasting stock market returns by summing the frequency-decomposed parts

Gonçalo Manuel Albuquerque Pereira Oliveira de Faria (with Faria, G.). 2018. Journal of Empirical Finance
Other

Forecasting the Equity Risk Premium with Frequency-Decomposed Predictors

Paper

Is stochastic volatility relevant for dynamic portfolio choice under ambiguity?

Gonçalo Manuel Albuquerque Pereira Oliveira de Faria (with Faria, G.). 2016. European Journal of Finance
Other

The Correlation Risk Premium Term Structure

Other

The Correlation Risk Premium: International Evidence

Paper

The Correlation Risk Premium: International Evidence

Gonçalo Manuel Albuquerque Pereira Oliveira de Faria (with Gonçalo Faria). 2022. Journal of Banking and Finance
Other

The equity risk premium and the low frequency of the term spread

Paper

The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices

Gonçalo Manuel Albuquerque Pereira Oliveira de Faria (with Faria, G.). 2012. Annals of Finance
Paper

The yield curve and the stock market: Mind the long run

Gonçalo Manuel Albuquerque Pereira Oliveira de Faria (with Faria, G.). 2019. Journal of Financial Markets
Paper

Time-frequency forecast of the equity premium

Gonçalo Manuel Albuquerque Pereira Oliveira de Faria (with Gonçalo Faria). 2021. Quantitative Finance
Paper

“Closed-Form Solution for Options with Ambiguity about Stochastic Volatility”

Gonçalo Manuel Albuquerque Pereira Oliveira de Faria 2014. Review of Derivatives Research
Other

“Dynamic Consumption and Portfolio Choice with Ambiguity about Stochastic Volatility”

Paper

“Is Stochastic Volatility relevant for Dynamic Portfolio Choice under Ambiguity?”

Gonçalo Manuel Albuquerque Pereira Oliveira de Faria 2016. The European Journal of Finance
Other

“Numerical solution of linear models in economics: The SP-DG model revisited"

Other

“Robust Portfolio Choice with Ambiguity about Stochastic Volatility”.