Gonçalo Faria is an associate lecturer at the School of Economics and Finance, Queen Mary University of London, and an Assistant Professor of Finance at Universidade Católica Portuguesa, Católica Porto Business School. Gonçalo Faria consults for financial sector institutions, particularly Asset Management companies and Multi-Family Offices.
Gonçalo Faria's research interests include asset management, asset pricing, uncertainty in financial markets, portfolio optimization, risk management, volatility and correlation risks, with a focus on forecasting of stock returns, derivatives, derivatives based trading strategies and hedge funds. He is an external Researcher at the Research Group in Economic Analysis of University of Vigo and in the past was Visiting Researcher at the Risk Management Laboratory and the Centre for Hedge Fund Research of Imperial College Business School. His research has been awarded with research grants from the BNP Paribas Hedge Fund Centre at SMU, from INQUIRE Europe and from Netspar at Tilburg University.
Gonçalo holds a degree in Economics from Faculty of Economics, University of Porto, is a CFA charterholder and holds a PhD in Financial Economics by the University of Porto. Gonçalo was a Private Equity Fund consultant (2012-2013) and a Managing Partner of a Hedge Fund (2010-2011). Previously worked as an equity analyst (2001-2005) and Proprietary trader (2005-2007) at Bank BPI and as an auditor at Arthur Andersen (2000).
- Faria, G. and F. Verona: 2018, “Forecasting stock market returns by summing the frequency-decomposed parts”. Journal of Empirical Finance, 45, 228-242.
- Faria, G. and J. Correia-da-Silva: 2016, “Is Stochastic Volatility relevant for Dynamic Portfolio Choice under Ambiguity?”, The European Journal of Finance, 22 (7), 601-626.
- Faria, G. and J. Correia-da-Silva: 2014, “Closed-Form Solution for Options with Ambiguity about Stochastic Volatility”, Review of Derivatives Research, 17 (2), 125-159.
- Faria, G. and J. Correia-da-Silva: 2012, "The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices", Annals of Finance, 8 (4), 507-531.