Allocation of clients into groups using classification via boosting: a comparison with traditional classification methods (with Ronaldo Dias), Revista Brasileira de Estatística, 64(221), pp. 25-41
Work in Progress
The Role of Corporate Default Risk in Stock Market Efficiency (with Paul Zimmermann).
Option-implied beta herding (with Thanos Verousis and Maria Llompart).
Portfolio Optimization with Multiple Covariance Models: Forecast Combination Approaches (with Luiz Koodi Hotta, Carlos Trucíos Maza, and Andre A. P. Santos).
Rubesam, A., Zimmermann, P. (2025), The Informational Role of CDS in Stock Market Efficiency, EFMA Annual Meeting, Athens, Greece.
Hotta, L., Trucios Maza, C., Rubesam, A., Santos, A. P., (2025), Portfolio Optimization with Multiple Covariance Models: Forecast Combination Approaches. São Paulo School of Advanced Science on High Dimensional Models, São Paulo, Brazil.
Rubesam A., Bianchi D., Tamoni A., (2024), It Takes Two to Tango: Economic Theory and Model Uncertainty for Equity Premium Prediction. FinEML Conference 2024, Lugano, Italy.
Rubesam A., Zimmermann P. (2024), Samuelson’s Dictum and the Role of Default Risk in Stock Market Efficiency, 2024 FMA Annual Meeting, Dallas, USA.
Rubesam A., Bianchi D., Tamoni A., (2023), It Takes Two to Tango: Economic Theory and Model Uncertainty for Equity Premium Prediction, 2023 FMA Annual Meeting, Chicago, USA.
Rubesam A., Branco R., Zevallos M., (2023), Forecasting Realized Volatility: Does Anything Beat Linear Models? 17th International Conference on Computational and Financial Econometrics, Berlin, Germany
Rubesam A., Zimmermann P., (2022), Micro-efficiency vs. Macro-(in)efficiency: The Role of Capital Structure Arbitrage in Stock Return Predictability, 28th Annual Meeting of the German Finance Association, Marburg, Germany
Rubesam A., Zimmermann P., (2022), Micro-efficiency vs. Macro-(in)efficiency: The Role of Capital Structure Arbitrage in Stock Return Predictability, FMA Annual Meeting, Atlanta, USA
Rubesam A., Zimmermann P., (2022), Micro-efficiency vs. Macro-(in)efficiency: The Role of Capital Structure Arbitrage in Stock Return Predictability, FMA European Conference, Lyon, France
Rubesam A., Zimmermann P., (2022), Micro-efficiency vs. Macro-(in)efficiency: The Role of Default Risk in Stock Return Predictability, 1st MUSEES Conference, Lyon, France
Rubesam A., Zimmermann P., (2022), Micro-efficiency vs. Macro-(in)efficiency: The Role of Default Risk in Stock Return Predictability, 58th Annual Meeting of the Eastern Finance Association, Washington, USA
Rubesam A., Zimmermann P., (2022), Micro-efficiency vs. Macro-(in)efficiency: The Role of Default Risk in Stock Return Predictability MFA Annual Meeting, Chicago (IL), USA
Rubesam A., (2021), Machine Learning Portfolios with Equal Risk Contributions 2021 FMA Annual Meeting, Denver, USA
Rubesam A., (2021), Machine Learning Portfolios with Equal Risk Contributions 2021 FMA Annual Meeting, Denver, USA
Rubesam A., (2021), Machine Learning Portfolios with Equal Risk Contributions 37th International Conference of the French Finance Association (AFFI), Online, France
Rubesam A., (2021), Machine Learning Portfolios with Equal Risk Contributions 57th Meeting of the Eastern Finance Association (EFA), (virtual), USA
Rubesam A., (2021), Machine Learning Portfolios with Equal Risk Contributions European Financial Management Association 2021 Annual Meetings, Leeds, United Kingdom
Rubesam A., Zimmermann P., (2021), Micro-efficiency vs. Macro-(in)efficiency: The Role of Default Risk in Stock Return Predictability, 2021 International Risk Management Conference, Caglari, Italy
Rubesam A., Zimmermann P., (2021), Micro-efficiency vs. Macro-(in)efficiency: The Role of Default Risk in Stock Return Predictability World Finance & Banking Symposium, Budapest, Hungary
Rubesam A., (2020), Machine Learning Portfolios with Equal Risk Contributions 29th European Financial Management Association (EFMA), Dublin, Ireland
Rubesam A., (2020), Machine Learning Portfolios with Equal Risk Contributions XXI WORKSHOP ON QUANTITATIVE FINANCE, Naples, Italy
Rubesam A., (2020), The Long and the Short of Risk Parity XXI WORKSHOP ON QUANTITATIVE FINANCE, Naples, Italy
Hwang S., Rubesam A., Salmon M., (2019), Overconfidence, Sentiment and Beta Herding: A Behavioral Explanation of the Low-Beta Anomaly 2019 FMA European Conference, Glasgow, United Kingdom
Rubesam A., Hwang S., (2019), Searching the Factor Zoo 2019 FMA Asia/Pacific Conference, Ho Chi Minh, Vietnam
Rubesam A., Hwang S., (2019), Searching the Factor Zoo Eastern Finance Association 2019 Annual Meeting, Miami, USA
Rubesam A., Hwang S., Salmon M., (2019), Overconfidence, Sentiment and Beta Herding: A Behavioral Explanation of The Low-Beta Anomaly Eastern Finance Association 2019 Annual Meeting, Miami, USA
Hwang S., Rubesam A., (2018), Searching the Factor Zoo XVIII Brazilian Finance Meeting, Sao Paulo, Brazil
Rubesam A., Hwang S., (2018), Searching the Factor Zoo 13th Conference on Asia-Pacific Financial Markets (CAFM), Seoul, Korea
Rubesam A., Hwang S., (2018), Searching the Factor Zoo 25th Annual Conference of the Multinational Finance Society, Budapest, Hungary
Rubesam A., Hwang S., (2018), Searching the Factor Zoo 35th Annual Conference of the French Finance Association, Paris, France
Rubesam A., Hwang S., (2018), Searching the factor zoo Frontiers of Factor Investing, Lancaster, United Kingdom
Hwang S., Rubesam A., (2012), Fishing with a license: an empirical search for factors using individual stocks 19th Annual Conference of the Multinational Finance Society, Krakow, Poland
Hwang S., Rubesam A., (2009), The disappearance of momentum 2009 Western Finance Association Annual Meeting, San Diego, USA
Hwang S., Rubesam A., (2007), Is value really riskier than growth? 67th Annual Meeting of the American Finance Association, Chicago, USA
Rubesam A., Hwang S., (2006), Is value really riskier than growth? 6th Brazilian Finance Meeting, Vitoria, Brazil
Seminars
Rubesam A., Zimmermann P., (2021), Micro-efficiency vs. Macro-(in)efficiency: The Role of Default Risk in Stock Return Predictability Audencia Business School, Nantes, France
Rubesam A., Zimmermann P., (2021), Micro-efficiency vs. Macro-(in)efficiency: The Role of Default Risk in Stock Return Predictability EMLyon, Lyon, France
Rubesam A., (2020), Machine Learning Portfolios with Equal Risk Contributions Machine Learning for Finance seminar, Norks Foreningen for Kvantitativ Finans, Oslo, Norway
Rubesam A., (2019), Machine learning portfolios with equal risk contributions INSPER, Sao Paulo, Brazil
Rubesam A., Hwang S., (2019), Do Smart Beta ETFs Capture Factor Premiums? A Bayesian Perspective IESEG School of Management, Paris, France
Rubesam A., Hwang S., (2019), Searching the Factor Zoo INSPER, Sao Paulo, Brazil