Autor

Nome:
Alexandre Baptista
Habilitações:
Doutoramento: U Minnesota, Finance, 2001
Licenciatura: ISCTE, Gestao, 1995
e-mail:
alexbapt@gwu.edu
URL:
http://home.gwu.edu/~alexbapt/
Ideas:
http://ideas.repec.org/e/pba123.html
Researcher id:
http://www.researcherid.com/rid/B-5911-2009
Artigos 19:

On Regulatory Responses to the Recent Crisis: An Assessment of the Basel Market Risk Framework and the Volcker Rule
Gordon Alexander, Alexandre Baptista, Shu Yan
Financial Markets Institutions And Instruments, vol. 24, 2015, p. 87-125.

Bank Regulation and International Financial Stability: A Case against the 2006 Basel Framework for Controlling Tail Risk in Trading Books
Gordon Alexander, Alexandre Baptista, Shu Yan
Journal of International Money and Finance, vol. 43, 2014, p. 107-130.

A Comparison of the Original and Revised Basel Market Risk Frameworks for Regulating Bank Capital
Shu Yan, Alexandre Baptista, Gordon Alexander
Journal Of Economic Behavior And Organization, vol. 85, 2013, p. 249-268.

Portfolio Selection with Mental Accounts and Background Risk
Alexandre Baptista
Journal of Banking and Finance, vol. 36, 2012, p. 968-980.

When More Is Less: Using Multiple Constraints to Reduce Tail Risk
Gordon Alexander, Alexandre Baptista, Shu Yan
Journal of Banking and Finance, vol. 36, 2012, p. 2693-2716.

Portfolio Selection with Mental Accounts and Delegation
Gordon Alexander, Alexandre Baptista
Journal of Banking and Finance, vol. 35, 2011, p. 2637-2656.

Active Portfolio Management with Benchmarking: A Frontier Based on Alpha
Gordon Alexander, Alexandre Baptista
Journal of Banking and Finance, vol. 34, 2010, p. 2185-2197.

Reducing Estimation Risk in Optimal Portfolio Selection When Short Sales Are Allowed
Gordon Alexander, Alexandre Baptista, Shu Yan
Managerial And Decision Economics, vol. 30, 2009, p. 281-305.

Stress Testing by Financial Intermediaries: Implications for Portfolio Selection and Asset Pricing
Gordon Alexander, Alexandre Baptista
Journal Of Financial Intermediation, vol. 18, 2009, p. 65-92.

Active Portfolio Management with Benchmarking: Adding a Value-at-Risk Constraint
Gordon Alexander, Alexandre Baptista
Journal of Economic Dynamics and Control, vol. 32, 2008, p. 779-820.

Optimal Delegated Portfolio Management with Background Risk
Alexandre Baptista
Journal of Banking and Finance, vol. 32, 2008, p. 977-985.

Mean-Variance Portfolio Selection with ´At-Risk` Constraints and Discrete Distributions
Gordon Alexander, Alexandre Baptista, Shu Yan
Journal of Banking and Finance, vol. 31, 2007, p. 3761-3781.

On the Non-existence of Redundant Options
Alexandre Baptista
Economic Theory, vol. 31, 2007, p. 205-212.

Does the Basle Capital Accord Reduce Bank Fragility? An Assessment of the Value-at-Risk Approach
Gordon Alexander, Alexandre Baptista
Journal of Monetary Economics, vol. 53, 2006, p. 1631-1660.

Portfolio Selection with a Drawdown Constraint
Gordon Alexander, Alexandre Baptista
Journal of Banking and Finance, vol. 30, 2006, p. 3171-3189.

Options and Efficiency in Multidate Security Markets
Alexandre Baptista
Mathematical Finance, vol. 15, 2005, p. 569-587.

Portfolio Performance Evaluation Using Value at Risk: The Reward-to-VaR Ratio
Gordon Alexander, Alexandre Baptista
Journal Of Portfolio Management, vol. 29, 2003, p. 93-102.

Spanning with American Options
Alexandre Baptista
Journal of Economic Theory, vol. 110, 2003, p. 264-289.

Economic Implications of Using a Mean-VaR Model for Portfolio Selection: A Comparison with Mean-Variance Analysis
Gordon Alexander, Alexandre Baptista
Journal of Economic Dynamics and Control, vol. 26, 2002, p. 1159-1193.

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