Details about Alexandre M. Baptista

Access statistics for papers by Alexandre M. Baptista.

Last updated 2022-01-07. Update your information in the RePEc Author Service.

Short-id: pba123

Working Papers

2012

1. Bank regulation and stability: An examination of the Basel market risk framework
   Discussion Papers, Deutsche Bundesbank View citations (2)

Journal Articles

2021

1. Regulation of bank proprietary trading post 2007–09 crisis: An examination of the Basel framework and Volcker rule
   Journal of International Money and Finance, 2021, 119, (C)

2020

2. Portfolio selection with mental accounts: An equilibrium model with endogenous risk aversion
   Journal of Banking & Finance, 2020, 110, (C) View citations (1)

2017

3. Bank Capital Regulation of Trading Portfolios: An Assessment of the Basel Framework
   Journal of Money, Credit and Banking, 2017, 49, (4), 603-634 View citations (3)
4. Portfolio selection with mental accounts and estimation risk
   Journal of Empirical Finance, 2017, 41, (C), 161-186 View citations (4)

2014

5. 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 View citations (4)

2013

6. 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 View citations (7)

2012

7. Portfolio selection with mental accounts and background risk
   Journal of Banking & Finance, 2012, 36, (4), 968-980 View citations (20)
8. When more is less: Using multiple constraints to reduce tail risk
   Journal of Banking & Finance, 2012, 36, (10), 2693-2716 View citations (7)

2011

9. Portfolio selection with mental accounts and delegation
   Journal of Banking & Finance, 2011, 35, (10), 2637-2656 View citations (11)

2010

10. Active portfolio management with benchmarking: A frontier based on alpha
    Journal of Banking & Finance, 2010, 34, (9), 2185-2197 View citations (26)

2009

11. Reducing estimation risk in optimal portfolio selection when short sales are allowed
    Managerial and Decision Economics, 2009, 30, (5), 281-305 View citations (5)
12. Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing
    Journal of Financial Intermediation, 2009, 18, (1), 65-92 View citations (4)

2008

13. Active portfolio management with benchmarking: Adding a value-at-risk constraint
    Journal of Economic Dynamics and Control, 2008, 32, (3), 779-820 View citations (41)
14. Optimal delegated portfolio management with background risk
    Journal of Banking & Finance, 2008, 32, (6), 977-985 View citations (21)

2007

15. Mean-variance portfolio selection with `at-risk' constraints and discrete distributions
    Journal of Banking & Finance, 2007, 31, (12), 3761-3781 View citations (19)
16. On the Non-Existence of Redundant Options
    Economic Theory, 2007, 31, (2), 205-212 View citations (7)

2006

17. 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 (26)
18. Portfolio selection with a drawdown constraint
    Journal of Banking & Finance, 2006, 30, (11), 3171-3189 View citations (29)

2005

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

2004

20. A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model
    Management Science, 2004, 50, (9), 1261-1273 View citations (126)

2003

21. Spanning with American options
    Journal of Economic Theory, 2003, 110, (2), 264-289 View citations (5)

2002

22. 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 (118)