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Details about Alexandre M. Baptista

E-mail:
Homepage:https://blogs.gwu.edu/alexbapt/
Phone:(202) 994-3309
Postal address:School of Business, Funger Hall, Suite 501, 2201 G Street, NW, Washington, DC 20052
Workplace:School of Business, George Washington University, (more information at EDIRC)

Access statistics for papers by Alexandre M. Baptista.

Last updated 2020-06-08. Update your information in the RePEc Author Service.

Short-id: pba123


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Working Papers

2012

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

Journal Articles

2020

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

2017

  1. Bank Capital Regulation of Trading Portfolios: An Assessment of the Basel Framework
    Journal of Money, Credit and Banking, 2017, 49, (4), 603-634 Downloads View citations (1)
  2. Portfolio selection with mental accounts and estimation risk
    Journal of Empirical Finance, 2017, 41, (C), 161-186 Downloads View citations (2)

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 View citations (4)

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 View citations (4)

2012

  1. Portfolio selection with mental accounts and background risk
    Journal of Banking & Finance, 2012, 36, (4), 968-980 Downloads View citations (15)
  2. When more is less: Using multiple constraints to reduce tail risk
    Journal of Banking & Finance, 2012, 36, (10), 2693-2716 Downloads View citations (5)

2011

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

2010

  1. Active portfolio management with benchmarking: A frontier based on alpha
    Journal of Banking & Finance, 2010, 34, (9), 2185-2197 Downloads View citations (15)

2009

  1. Reducing estimation risk in optimal portfolio selection when short sales are allowed
    Managerial and Decision Economics, 2009, 30, (5), 281-305 Downloads View citations (4)
  2. 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 (26)
  2. Optimal delegated portfolio management with background risk
    Journal of Banking & Finance, 2008, 32, (6), 977-985 Downloads View citations (19)

2007

  1. Mean-variance portfolio selection with `at-risk' constraints and discrete distributions
    Journal of Banking & Finance, 2007, 31, (12), 3761-3781 Downloads View citations (15)
  2. On the Non-Existence of Redundant Options
    Economic Theory, 2007, 31, (2), 205-212 Downloads View citations (6)

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 (21)
  2. Portfolio selection with a drawdown constraint
    Journal of Banking & Finance, 2006, 30, (11), 3171-3189 Downloads View citations (25)

2005

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

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 (93)

2003

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

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 (94)
 
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