Details about Alexandre M. Baptista

Access statistics for papers by Alexandre M. Baptista.

Last updated 2026-06-08. 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

2026

1. Advances in portfolio selection and asset pricing in honor of Harry Markowitz
   The European Journal of Finance, 2026, 32, (4-6), 422-426
2. From mean-variance analysis to mental accounting and back: bridging contributions of Markowitz to portfolio selection
   The European Journal of Finance, 2026, 32, (4-6), 586-619

2021

3. 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) View citations (1)

2020

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

2017

5. 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)
6. Portfolio selection with mental accounts and estimation risk
   Journal of Empirical Finance, 2017, 41, (C), 161-186 View citations (4)

2015

7. On Regulatory Responses to the Recent Crisis: An Assessment of the Basel Market Risk Framework and the Volcker Rule
   Financial Markets, Institutions & Instruments, 2015, 24, (2-3), 87-125

2014

8. 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 (5)

2013

9. 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

10. Portfolio selection with mental accounts and background risk
    Journal of Banking & Finance, 2012, 36, (4), 968-980 View citations (21)
11. When more is less: Using multiple constraints to reduce tail risk
    Journal of Banking & Finance, 2012, 36, (10), 2693-2716 View citations (8)

2011

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

2010

13. Active portfolio management with benchmarking: A frontier based on alpha
    Journal of Banking & Finance, 2010, 34, (9), 2185-2197 View citations (28)

2009

14. Reducing estimation risk in optimal portfolio selection when short sales are allowed
    Managerial and Decision Economics, 2009, 30, (5), 281-305 View citations (6)
15. 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

16. Active portfolio management with benchmarking: Adding a value-at-risk constraint
    Journal of Economic Dynamics and Control, 2008, 32, (3), 779-820 View citations (44)
17. Optimal delegated portfolio management with background risk
    Journal of Banking & Finance, 2008, 32, (6), 977-985 View citations (23)

2007

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

2006

20. 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 (28)
21. Portfolio selection with a drawdown constraint
    Journal of Banking & Finance, 2006, 30, (11), 3171-3189 View citations (30)

2005

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

2004

23. A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model
    Management Science, 2004, 50, (9), 1261-1273 View citations (133)

2003

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

2002

25. 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 (125)