Education
- 2008 : Ph.D., Finance, Cass Business School, United Kingdom
- 2004 : MSc., Statistics, State University of Campinas, Brazil
- 2001 : Bachelor, Statistics, State University of Campinas, Brazil
Professional Experiences
Academic Experience
- 2017 - present, Professor, IÉSEG School of Management, , France
- 2010 - 2013, Lecturer, Instituto Educacional BM&F Bovespa, São Paulo, Brazil
- 2006 - 2008, Visiting professor, Cass Business School, London, United Kingdom
Professional Experience :
- 2013 - 2017, Chief Risk Officer, Senior Vice President, Itaú-Unibanco, New York Branch, New York, USA
- 2012 - 2013, Risk Manager, Vice President, Itaú-Unibanco, São Paulo, Brazil
- 2011 - 2012, Model Validation Specialist, Itaú-Unibanco, São Paulo, Brazil
- 2009 - 2011, Quantitative Researcher and Trader, Principia Capital Management, São Paulo, Brazil
Scientific prizes and Awards
Awards
- 2007 : Dimitris N. Chorafas Foundation Prize, The Dimitris N. Chorafas Foundation
- 2006 : Best paper award - PhD research day, Cass Business School
Published Papers in Refereed Journals
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Rubesam A., Zevallos M., Branco R., (2024). Forecasting Realized Volatility: Does Anything Beat Linear Models?, Journal of Empirical Finance, 78 (September 2024) 101524.
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Rubesam A., (2022). Machine learning portfolios with equal risk contributions: evidence from the Brazilian market, Emerging Markets Review, 51 (B) 1-31.
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Rubesam A., Raimundo Junior G., (2022). COVID-19 and Herding in Global Equity Markets, Journal of Behavioral and Experimental Finance, 35 (2022) 100672.
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Rubesam A., Hwang S., (2022). Bayesian selection of asset pricing factors using individual stocks, Journal of Financial Econometrics, 20 (4) 716–761.
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Rubesam A., (2022). The Long and the Short of Risk Parity, The Journal of Portfolio Management, 48 (4) 241-260.
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Rubesam A., Hwang S., Salmon M., (2021). Beta Herding through Overconfidence: A Behavioral Explanation of the Low-Beta Anomaly, Journal of International Money and Finance, 111 (1) 102318.
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Hwang Soosung, Rubesam A., (2015). The disappearance of momentum, The European Journal of Finance, 21 (7) 584-607.
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Rubesam A., Beltrame André Lomonaco, (2013). Minimum variance portfolios in the Brazilian equity market, Revista Brasileira de Financas, 11 (1) 81–118.
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Hwang Soosung, Rubesam A., (2013). A behavioral explanation of the value anomaly based on time-varying return reversals, Journal of Banking & Finance, 37 (7) 2367-2377.
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Dias Ronaldo, Rubesam A., (2003). Allocation of clients into groups using classification via boosting: a comparison with traditional classification methods, Revista Brasileira de Estatística, 64 (221) 25-41.
Teaching
Grande Ecole (Bachelor cycle) :
Grande Ecole (Master cycle) :
- Programming in finance using r
- Introduction to machine learning in finance
MSc in Finance :
- Active portfolio management: investment simulation
- Portfolio management and analysis
Post graduate program :
