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Details about Gordon J. Alexander

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Workplace:Carlson School of Management, University of Minnesota, (more information at EDIRC)

Access statistics for papers by Gordon J. Alexander.

Last updated 2016-09-04. Update your information in the RePEc Author Service.

Short-id: pal215


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Working Papers

2012

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

2004

  1. Margin regulation and market quality: a microstructure analysis
    Post-Print, HAL
    See also Journal Article in Journal of Corporate Finance (2004)

Journal Articles

2014

  1. Bank regulation and international financial stability: A case against the 2006 Basel framework for controlling tail risk in trading books
    Journal of International Money and Finance, 2014, 43, (C), 107-130 Downloads

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 Downloads

2012

  1. When more is less: Using multiple constraints to reduce tail risk
    Journal of Banking & Finance, 2012, 36, (10), 2693-2716 Downloads View citations (3)

2011

  1. Portfolio selection with mental accounts and delegation
    Journal of Banking & Finance, 2011, 35, (10), 2637-2656 Downloads View citations (5)

2010

  1. Active portfolio management with benchmarking: A frontier based on alpha
    Journal of Banking & Finance, 2010, 34, (9), 2185-2197 Downloads View citations (12)

2009

  1. From Markowitz to modern risk management
    The European Journal of Finance, 2009, 15, (5-6), 451-461 Downloads View citations (6)
  2. Reducing estimation risk in optimal portfolio selection when short sales are allowed
    Managerial and Decision Economics, 2009, 30, (5), 281-305 Downloads View citations (3)
  3. Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing
    Journal of Financial Intermediation, 2009, 18, (1), 65-92 Downloads View citations (4)

2008

  1. Active portfolio management with benchmarking: Adding a value-at-risk constraint
    Journal of Economic Dynamics and Control, 2008, 32, (3), 779-820 Downloads View citations (20)
  2. 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 Downloads View citations (23)

2007

  1. An analysis of trade-size clustering and its relation to stealth trading
    Journal of Financial Economics, 2007, 84, (2), 435-471 Downloads View citations (25)
  2. Does Motivation Matter When Assessing Trade Performance? An Analysis of Mutual Funds
    Review of Financial Studies, 2007, 20, (1), 125-150 Downloads View citations (45)
  3. Guest Editorial
    The Quarterly Review of Economics and Finance, 2007, 47, (5), 585-587 Downloads
  4. Mean-variance portfolio selection with `at-risk' constraints and discrete distributions
    Journal of Banking & Finance, 2007, 31, (12), 3761-3781 Downloads View citations (11)

2006

  1. 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 Downloads View citations (12)
  2. Portfolio selection with a drawdown constraint
    Journal of Banking & Finance, 2006, 30, (11), 3171-3189 Downloads View citations (19)

2004

  1. A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model
    Management Science, 2004, 50, (9), 1261-1273 Downloads View citations (46)
  2. Margin regulation and market quality: a microstructure analysis
    Journal of Corporate Finance, 2004, 10, (4), 549-574 Downloads
    See also Working Paper (2004)

2002

  1. 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 Downloads View citations (49)
  2. Implications of a Reduction in Tick Size on Short-Sell Order Execution
    Journal of Financial Intermediation, 2002, 11, (1), 37-60 Downloads View citations (1)

2001

  1. 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 Downloads View citations (1)

2000

  1. On Back-Testing "Zero-Investment" Strategies
    The Journal of Business, 2000, 73, (2), 255-77 Downloads View citations (5)
  2. The determinants of trading volume of high-yield corporate bonds
    Journal of Financial Markets, 2000, 3, (2), 177-204 Downloads View citations (30)
  3. What Does Nasdaq's High Yield Bond Market Reveal about Bondholder-Shareholder Conflict?
    Financial Management, 2000, 29, (1) View citations (10)

1999

  1. 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 Downloads View citations (9)

1998

  1. Mutual fund shareholders: characteristics, investor knowledge, and sources of information
    Financial Services Review, 1998, 7, (4), 301-316 Downloads View citations (28)

1997

  1. Investor self-selection: evidence from a mutual fund survey
    Managerial and Decision Economics, 1997, 18, (7-8), 719-729 View citations (1)

1996

  1. A graphical note on European put thetas
    Journal of Futures Markets, 1996, 16, (2), 201-209 Downloads View citations (1)

1993

  1. Short Selling and Efficient Sets
    Journal of Finance, 1993, 48, (4), 1497-1506 Downloads View citations (9)

1988

  1. International Listings and Stock Returns: Some Empirical Evidence
    Journal of Financial and Quantitative Analysis, 1988, 23, (02), 135-151 Downloads View citations (99)

1987

  1. Asset Pricing and Dual Listing on Foreign Capital Markets: A Note
    Journal of Finance, 1987, 42, (1), 151-58 Downloads View citations (117)

1985

  1. More on Estimation Risk and Simple Rules for Optimal Portfolio Selection
    Journal of Finance, 1985, 40, (1), 125-33 Downloads View citations (6)
  2. Using linear and goal programming to immunize bond portfolios
    Journal of Banking & Finance, 1985, 9, (1), 35-54 Downloads View citations (2)

1984

  1. Investigating the Valuation Effects of Announcements of Voluntary Corporate Selloffs
    Journal of Finance, 1984, 39, (2), 503-17 Downloads View citations (27)

1982

  1. More on Beta as a Random Coefficient
    Journal of Financial and Quantitative Analysis, 1982, 17, (01), 27-36 Downloads View citations (7)
  2. Timing Decisions and the Behavior of Mutual Fund Systematic Risk
    Journal of Financial and Quantitative Analysis, 1982, 17, (04), 579-602 Downloads View citations (11)

1980

  1. Applying the Market Model to Long-Term Corporate Bonds
    Journal of Financial and Quantitative Analysis, 1980, 15, (05), 1063-1080 Downloads View citations (3)
  2. On the Estimation and Stability of Beta
    Journal of Financial and Quantitative Analysis, 1980, 15, (01), 123-137 Downloads View citations (9)

1979

  1. Market Timing Strategies in Convertible Debt Financing
    Journal of Finance, 1979, 34, (1), 143-55 Downloads View citations (5)

1978

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

1977

  1. An Algorithm for Deriving the Capital Market Line
    Management Science, 1977, 23, (11), 1183-1186 Downloads
  2. An algorithmic approach to deriving the minimum-variance zero-beta portfolio
    Journal of Financial Economics, 1977, 4, (2), 231-236 Downloads View citations (1)
  3. Mixed Security Testing of Alternative Portfolio Selection Models
    Journal of Financial and Quantitative Analysis, 1977, 12, (05), 817-832 Downloads

1976

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