Details about Gordon J. Alexander

Access statistics for papers by Gordon J. Alexander.

Last updated 2013-04-05. Update your information in the RePEc Author Service.

Short-id: pal215

Working Papers

2012

1. Bank regulation and stability: An examination of the Basel market risk framework
   Discussion Papers, Deutsche Bundesbank, Research Centre

Journal Articles

2013

1. A comparison of the original and revised Basel market risk frameworks for regulating bank capital
   Journal of Economic Behavior & Organization, 2013, 85, (C), 249-268

2012

2. When more is less: Using multiple constraints to reduce tail risk
   Journal of Banking & Finance, 2012, 36, (10), 2693-2716

2011

3. Portfolio selection with mental accounts and delegation
   Journal of Banking & Finance, 2011, 35, (10), 2637-2656

2010

4. Active portfolio management with benchmarking: A frontier based on alpha
   Journal of Banking & Finance, 2010, 34, (9), 2185-2197 View citations (7)

2009

5. From Markowitz to modern risk management
   European Journal of Finance, 2009, 15, (5-6), 451-461 View citations (2)
6. Reducing estimation risk in optimal portfolio selection when short sales are allowed
   Managerial and Decision Economics, 2009, 30, (5), 281-305
7. Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing
   Journal of Financial Intermediation, 2009, 18, (1), 65-92 View citations (1)

2008

8. Active portfolio management with benchmarking: Adding a value-at-risk constraint
   Journal of Economic Dynamics and Control, 2008, 32, (3), 779-820 View citations (9)
9. The effect of price tests on trader behavior and market quality: An analysis of Reg SHO
   Journal of Financial Markets, 2008, 11, (1), 84-111 View citations (12)

2007

10. An analysis of trade-size clustering and its relation to stealth trading
    Journal of Financial Economics, 2007, 84, (2), 435-471 View citations (4)
11. Does Motivation Matter When Assessing Trade Performance? An Analysis of Mutual Funds
    Review of Financial Studies, 2007, 20, (1), 125-150 View citations (11)
12. Guest Editorial
    The Quarterly Review of Economics and Finance, 2007, 47, (5), 585-587
13. Mean-variance portfolio selection with `at-risk' constraints and discrete distributions
    Journal of Banking & Finance, 2007, 31, (12), 3761-3781 View citations (3)

2006

14. Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach
    Journal of Monetary Economics, 2006, 53, (7), 1631-1660 View citations (7)
15. Portfolio selection with a drawdown constraint
    Journal of Banking & Finance, 2006, 30, (11), 3171-3189 View citations (9)

2004

16. A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model
    Management Science, 2004, 50, (9), 1261-1273 View citations (19)
17. Margin regulation and market quality: a microstructure analysis
    Journal of Corporate Finance, 2004, 10, (4), 549-574

2002

18. Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis
    Journal of Economic Dynamics and Control, 2002, 26, (7-8), 1159-1193 View citations (22)
19. Implications of a Reduction in Tick Size on Short-Sell Order Execution
    Journal of Financial Intermediation, 2002, 11, (1), 37-60 View citations (1)

2001

20. Does mutual fund disclosure at banks matter? Evidence from a survey of investors1
    The Quarterly Review of Economics and Finance, 2001, 41, (3), 387-403

2000

21. On Back-Testing "Zero-Investment" Strategies
    The Journal of Business, 2000, 73, (2), 255-77 View citations (3)
22. The determinants of trading volume of high-yield corporate bonds
    Journal of Financial Markets, 2000, 3, (2), 177-204 View citations (11)
23. What Does Nasdaq's High Yield Bond Market Reveal about Bondholder-Shareholder Conflict?
    Financial Management, 2000, 29, (1) View citations (5)

1999

24. Short Selling on the New York Stock Exchange and the Effects of the Uptick Rule
    Journal of Financial Intermediation, 1999, 8, (1-2), 90-116 View citations (4)

1998

25. Mutual fund shareholders: characteristics, investor knowledge, and sources of information
    Financial Services Review, 1998, 7, (4), 301-316 View citations (20)

1997

26. Investor self-selection: evidence from a mutual fund survey
    Managerial and Decision Economics, 1997, 18, (7-8), 719-729

1993

27. Short Selling and Efficient Sets
    Journal of Finance, 1993, 48, (4), 1497-1506 View citations (8)

1988

28. International Listings and Stock Returns: Some Empirical Evidence
    Journal of Financial and Quantitative Analysis, 1988, 23, (02), 135-151 View citations (73)

1987

29. Asset Pricing and Dual Listing on Foreign Capital Markets: A Note
    Journal of Finance, 1987, 42, (1), 151-58 View citations (89)

1985

30. More on Estimation Risk and Simple Rules for Optimal Portfolio Selection
    Journal of Finance, 1985, 40, (1), 125-33 View citations (6)
31. Using linear and goal programming to immunize bond portfolios
    Journal of Banking & Finance, 1985, 9, (1), 35-54

1984

32. Investigating the Valuation Effects of Announcements of Voluntary Corporate Selloffs
    Journal of Finance, 1984, 39, (2), 503-17 View citations (12)

1982

33. More on Beta as a Random Coefficient
    Journal of Financial and Quantitative Analysis, 1982, 17, (01), 27-36 View citations (5)
34. Timing Decisions and the Behavior of Mutual Fund Systematic Risk
    Journal of Financial and Quantitative Analysis, 1982, 17, (04), 579-602 View citations (5)

1980

35. Applying the Market Model to Long-Term Corporate Bonds
    Journal of Financial and Quantitative Analysis, 1980, 15, (05), 1063-1080
36. On the Estimation and Stability of Beta
    Journal of Financial and Quantitative Analysis, 1980, 15, (01), 123-137 View citations (5)

1979

37. Market Timing Strategies in Convertible Debt Financing
    Journal of Finance, 1979, 34, (1), 143-55 View citations (2)

1978

38. A Reevaluation of Alternative Portfolio Selection Models Applied to Common Stocks
    Journal of Financial and Quantitative Analysis, 1978, 13, (01), 71-78 View citations (2)

1977

39. An Algorithm for Deriving the Capital Market Line
    Management Science, 1977, 23, (11), 1183-1186
40. An algorithmic approach to deriving the minimum-variance zero-beta portfolio
    Journal of Financial Economics, 1977, 4, (2), 231-236
41. Mixed Security Testing of Alternative Portfolio Selection Models
    Journal of Financial and Quantitative Analysis, 1977, 12, (05), 817-832

1976

42. The Derivation of Efficient Sets
    Journal of Financial and Quantitative Analysis, 1976, 11, (05), 817-830