Raul Leote de Carvalho
BNP Paribas Investment Partners
Raul Leote de Carvalho is deputy head of the Quant Research Group at BNP Paribas Asset Management in Paris, France, since November 2017.
Prior to that, he was deputy head of Financial Engineering at BNP Paribas Investment Partners since 2014, also in Paris. He first joined that team in 2007 as head of Quantitative Strategies and Research. From 2003 to 2007, he held the position of Senior Quantitative Strategist in the Global Strategy team of BNP Paribas Asset Management in Paris, France, where he was member of the asset allocation investment committees and developed a number of quantitative models for asset allocation. He joined BNP Paribas Asset Management in 1999 in London, UK, as a Quantitative Analyst, a position he held until 2002, working on applications of robust portfolio optimization techniques, the development of foreign exchange and fixed income factor models, and as a fund manager of multi-asset portfolios. Before he spent three years working as a Research Associate in computational and theoretical physics at the University College of London, UK, at the Ecole Normale Supérieure de Lyon, France, and at the University of Wuppertal, Germany.
He obtained a PhD in Statistical Physics from the University of Bristol, UK, in 1996, an MSc in Condensed Matter Physics in 1992 and a BSc in Chemistry in 1990 both from the University of Lisbon, Portugal. Raul is a Board Member of Inquire Europe since 2018.
This paper is devoted to the question of optimal portfolio construction for equity factor investing. The authors discuss the question of multifactor portfolio construction and show that the simplistic approaches often used by practitioners tend to be…
The authors of this paper aim to demystify portfolios selected by robust optimization by looking at limiting portfolios in the cases of both large and small uncertainty in mean returns.