Details about Alexandre M. Baptista

Access statistics for papers by Alexandre M. Baptista.

Last updated 2008-07-27. Update your information in the RePEc Author Service.

Short-id: pba123

Journal Articles

2008

1. Active portfolio management with benchmarking: Adding a value-at-risk constraint
   Journal of Economic Dynamics and Control, 2008, 32, (3), 779-820 View citations
2. Optimal delegated portfolio management with background risk
   Journal of Banking & Finance, 2008, 32, (6), 977-985

2007

3. Mean-variance portfolio selection with `at-risk' constraints and discrete distributions
   Journal of Banking & Finance, 2007, 31, (12), 3761-3781
4. On the Non-Existence of Redundant Options
   Economic Theory, 2007, 31, (2), 205-212

2006

5. 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
6. Portfolio selection with a drawdown constraint
   Journal of Banking & Finance, 2006, 30, (11), 3171-3189

2005

7. OPTIONS AND EFFICIENCY IN MULTIDATE SECURITY MARKETS
   Mathematical Finance, 2005, 15, (4), 569-587 View citations

2003

8. Spanning with American options
   Journal of Economic Theory, 2003, 110, (2), 264-289

2002

9. 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