Gonçalo Manuel Albuquerque Pereira Oliveira de Faria

Professor Auxiliar

Generic Bio

Gonçalo Faria é Doutorado em Economia pela Universidade do Porto (2010).

É Professor Auxiliar de Finanças e Associate Dean na Católica Porto Business School (UCP) e Professor convidado na School of Economics and Finance, Queen Mary University of London.

Os seus interesses de investigação incluem gestão e avaliação de ativos, cobrindo tópicos empíricos e teóricos relacionados com incerteza, avaliação de derivados, estratégias de trading em derivados, previsão de retornos, riscos de volatilidade e correlação.

A sua investigação passada foi publicada em revistas científicas indexadas e a investigação atual foi premiada com bolsas de investigação do IFSID and the Global Risk Institute, do BNP Paribas Hedge Fund Centre da SMU, da INQUIRE Europe e da Netspar da Universidade de Tilburg.

Gonçalo presta consultoria a empresas gestoras de ativos, Multi‑Family Offices e Fundos Private Equity.

No passado foi sócio gestor de um Hedge Fund, analista financeiro e gestor de ativos no Banco BPI e auditor na Arthur Andersen.

Informação adicional em: https://sites.google.com/site/goncaloalbfaria/home

Artigo

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
Outros

Forecasting Stock Market Returns by Summing the Frequency-Decomposed Parts

Artigo

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
Outros

Forecasting the Equity Risk Premium with Frequency-Decomposed Predictors

Artigo

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
Outros

The Correlation Risk Premium Term Structure

Outros

The Correlation Risk Premium: International Evidence

Artigo

The Correlation Risk Premium: International Evidence

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

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

Artigo

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
Artigo

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
Artigo

Time-frequency forecast of the equity premium

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

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

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

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

Artigo

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

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

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

Outros

“Robust Portfolio Choice with Ambiguity about Stochastic Volatility”.