Regulation of Bank Proprietary Trading Post 2007-09 Crisis: An Examination of the Basel Framework and Volcker Rule 11.28
Gordon Alexander, Alexandre M. Baptista, Shu Yan
Journal of International Money and Finance, vol. 119, 2021, p. .

Bank Capital Regulation of Trading Portfolios: An Assessment of the Basel Framework 24.46
Gordon Alexander, Alexandre M. Baptista
Journal Of Money, Credit And Banking, vol. 49, 2017, p. 603-634.

Portfolio Selection with Mental Accounts and Estimation Risk 10.53
Gordon Alexander, Alexandre M. Baptista, Shu Yan
Journal Of Empirical Finance, vol. 41, 2017, p. 161-186.

On Regulatory Responses to the Recent Crisis: An Assessment of the Basel Market Risk Framework and the Volcker Rule 6.23
Gordon Alexander, Alexandre M. 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 11.28
Gordon Alexander, Alexandre M. 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 12.53
Shu Yan, Alexandre M. Baptista, Gordon Alexander
Journal Of Economic Behavior And Organization, vol. 85, 2013, p. 249-268.

Portfolio Selection with Mental Accounts and Background Risk 37.57
Alexandre M. Baptista
Journal of Banking and Finance, vol. 36, 2012, p. 968-980.

When More Is Less: Using Multiple Constraints to Reduce Tail Risk 12.52
Gordon Alexander, Alexandre M. Baptista, Shu Yan
Journal of Banking and Finance, vol. 36, 2012, p. 2693-2716.

Portfolio Selection with Mental Accounts and Delegation 18.79
Gordon Alexander, Alexandre M. Baptista
Journal of Banking and Finance, vol. 35, 2011, p. 2637-2656.

Active Portfolio Management with Benchmarking: A Frontier Based on Alpha 18.79
Gordon Alexander, Alexandre M. Baptista
Journal of Banking and Finance, vol. 34, 2010, p. 2185-2197.

Reducing Estimation Risk in Optimal Portfolio Selection When Short Sales Are Allowed 6.25
Gordon Alexander, Alexandre M. 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 22.43
Gordon Alexander, Alexandre M. Baptista
Journal Of Financial Intermediation, vol. 18, 2009, p. 65-92.

Active Portfolio Management with Benchmarking: Adding a Value-at-Risk Constraint 19.62
Gordon Alexander, Alexandre M. Baptista
Journal of Economic Dynamics and Control, vol. 32, 2008, p. 779-820.

Optimal Delegated Portfolio Management with Background Risk 37.57
Alexandre M. Baptista
Journal of Banking and Finance, vol. 32, 2008, p. 977-985.

Mean-Variance Portfolio Selection with ´At-Risk` Constraints and Discrete Distributions 12.52
Gordon Alexander, Alexandre M. Baptista, Shu Yan
Journal of Banking and Finance, vol. 31, 2007, p. 3761-3781.

On the Non-existence of Redundant Options 42.5
Alexandre M. 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 30.15
Gordon Alexander, Alexandre M. Baptista
Journal of Monetary Economics, vol. 53, 2006, p. 1631-1660.

Portfolio Selection with a Drawdown Constraint 18.79
Gordon Alexander, Alexandre M. Baptista
Journal of Banking and Finance, vol. 30, 2006, p. 3171-3189.

Options and Efficiency in Multidate Security Markets 33.84
Alexandre M. Baptista
Mathematical Finance, vol. 15, 2005, p. 569-587.

Portfolio Performance Evaluation Using Value at Risk: The Reward-to-VaR Ratio 10.57
Gordon Alexander, Alexandre M. Baptista
Journal Of Portfolio Management, vol. 29, 2003, p. 93-102.

Spanning with American Options 57.42
Alexandre M. 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 19.62
Gordon Alexander, Alexandre M. Baptista
Journal of Economic Dynamics and Control, vol. 26, 2002, p. 1159-1193.