Alexandre M. Baptista
Names
| first: |
Alexandre |
| middle: |
M. |
| last: |
Baptista |
Identifer
Contact
| 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 |
Affiliations
-
George Washington University
/ School of Business
Research profile
author of:
- Options And Efficiency In Multidate Security Markets (RePEc:bla:mathfi:v:15:y:2005:i:4:p:569-587)
by Alexandre M. Baptista - Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis (RePEc:eee:dyncon:v:26:y:2002:i:7-8:p:1159-1193)
by Alexander, Gordon J. & Baptista, Alexandre M. - Active portfolio management with benchmarking: Adding a value-at-risk constraint (RePEc:eee:dyncon:v:32:y:2008:i:3:p:779-820)
by Alexander, Gordon J. & Baptista, Alexandre M. - Portfolio selection with mental accounts and estimation risk (RePEc:eee:empfin:v:41:y:2017:i:c:p:161-186)
by Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu - Portfolio selection with mental accounts: An equilibrium model with endogenous risk aversion (RePEc:eee:jbfina:v:110:y:2020:i:c:s0378426619301669)
by Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu - Portfolio selection with a drawdown constraint (RePEc:eee:jbfina:v:30:y:2006:i:11:p:3171-3189)
by Alexander, Gordon J. & Baptista, Alexandre M. - Mean-variance portfolio selection with `at-risk' constraints and discrete distributions (RePEc:eee:jbfina:v:31:y:2007:i:12:p:3761-3781)
by Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu - Optimal delegated portfolio management with background risk (RePEc:eee:jbfina:v:32:y:2008:i:6:p:977-985)
by Baptista, Alexandre M. - Active portfolio management with benchmarking: A frontier based on alpha (RePEc:eee:jbfina:v:34:y:2010:i:9:p:2185-2197)
by Alexander, Gordon J. & Baptista, Alexandre M. - Portfolio selection with mental accounts and delegation (RePEc:eee:jbfina:v:35:y:2011:i:10:p:2637-2656)
by Alexander, Gordon J. & Baptista, Alexandre M. - When more is less: Using multiple constraints to reduce tail risk (RePEc:eee:jbfina:v:36:y:2012:i:10:p:2693-2716)
by Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu - Portfolio selection with mental accounts and background risk (RePEc:eee:jbfina:v:36:y:2012:i:4:p:968-980)
by Baptista, Alexandre M. - A comparison of the original and revised Basel market risk frameworks for regulating bank capital (RePEc:eee:jeborg:v:85:y:2013:i:c:p:249-268)
by Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu - Spanning with American options (RePEc:eee:jetheo:v:110:y:2003:i:2:p:264-289)
by Baptista, Alexandre M. - Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing (RePEc:eee:jfinin:v:18:y:2009:i:1:p:65-92)
by Alexander, Gordon J. & Baptista, Alexandre M. - Regulation of bank proprietary trading post 2007–09 crisis: An examination of the Basel framework and Volcker rule (RePEc:eee:jimfin:v:119:y:2021:i:c:s0261560621001418)
by Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu - Bank regulation and international financial stability: A case against the 2006 Basel framework for controlling tail risk in trading books (RePEc:eee:jimfin:v:43:y:2014:i:c:p:107-130)
by Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu - Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach (RePEc:eee:moneco:v:53:y:2006:i:7:p:1631-1660)
by Alexander, Gordon J. & Baptista, Alexandre M. - A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model (RePEc:inm:ormnsc:v:50:y:2004:i:9:p:1261-1273)
by Gordon J. Alexander & Alexandre M. Baptista - On the Non-Existence of Redundant Options (RePEc:spr:joecth:v:31:y:2007:i:2:p:205-212)
by Alexandre Baptista - Bank Capital Regulation of Trading Portfolios: An Assessment of the Basel Framework (RePEc:wly:jmoncb:v:49:y:2017:i:4:p:603-634)
by Gordon J. Alexander & Alexandre M. Baptista - Reducing estimation risk in optimal portfolio selection when short sales are allowed (RePEc:wly:mgtdec:v:30:y:2009:i:5:p:281-305)
by Gordon J. Alexander & Alexandre M. Baptista & Shu Yan - Bank regulation and stability: An examination of the Basel market risk framework (RePEc:zbw:bubdps:092012)
by Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu