Research Papers

Semivolatility-Managed Portfolios

with Marcelo Fernandes

We develop portfolio strategies that jointly exploit upside and downside volatility, evaluate their risk-adjusted performance across equity factors, anomaly portfolios, and ETFs, and provide inference for Sortino-ratio comparisons.

The Jump–Diffusion Anatomy of Semibetas

I decompose realized semibetas into continuous and jump components using high-frequency data and study their cross-sectional prices of risk within a continuous-time Fama–MacBeth framework.

Upside Risk and Return Timing in Bitcoin

with Marcelo Fernandes

We show that Bitcoin volatility spikes frequently reflect favorable upside states and that distinguishing upside from downside volatility improves risk-adjusted performance by avoiding indiscriminate deleveraging after positive volatility shocks.

Spectral Risk Factors and the Limits of Spanability

I decompose major risk factors into horizon-specific components and study whether these risks can be represented and hedged by sparse portfolios of traded assets.