Citations of
Alexandre M. Baptista

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Articles

1. Alexander, Gordon J. & Baptista, Alexandre M., 2008. "Active portfolio management with benchmarking: Adding a value-at-risk constraint," Journal of Economic Dynamics and Control, Elsevier, vol. 32(3), pages 779-820, March. [Downloadable!] (restricted)

   Cited by:

   1. Hallerbach, W.G.P.M. & Pouchkarev, I., 2005. "A Relative View on Tracking Error," Research Paper ERS-2005-063-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]

2. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2007. "Mean-variance portfolio selection with `at-risk' constraints and discrete distributions," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3761-3781, December. [Downloadable!] (restricted)

   Cited by:

   1. Larsen, Ryan & Vedenov, Dmitry & Leatham, David, 2009. "Enterprise-level risk assessment of geographically diversified commercial farms: a copula approach," 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia 46763, Southern Agricultural Economics Association. [Downloadable!]

3. Alexandre Baptista, 2007. "On the Non-Existence of Redundant Options," Economic Theory, Springer, vol. 31(2), pages 205-212, May. [Downloadable!] (restricted)

   Cited by:

   1. Jacco Thijssen, 2008. "A computational study on general equilibrium pricing of derivative securities," Annals of Finance, Springer, vol. 4(4), pages 505-523, October. [Downloadable!] (restricted)

4. Alexander, Gordon J. & Baptista, Alexandre M., 2006. "Portfolio selection with a drawdown constraint," Journal of Banking & Finance, Elsevier, vol. 30(11), pages 3171-3189, November. [Downloadable!] (restricted)

   Cited by:

   1. Bastien Drut, 2009. "Nice guys with cold feet: The cost of responsible investing in the bond markets," Working Papers CEB 09-034.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
   2. Diana Barro & Elio Canestrelli, 2008. "Tracking error with minimum guarantee constraints," Working Papers 172, Department of Applied Mathematics, University of Venice. [Downloadable!]

5. Alexandre M. Baptista, 2005. "Options And Efficiency In Multidate Security Markets," Mathematical Finance, Blackwell Publishing, vol. 15(4), pages 569-587. [Downloadable!] (restricted)

   Cited by:

   1. Alexandre Baptista, 2007. "On the Non-Existence of Redundant Options," Economic Theory, Springer, vol. 31(2), pages 205-212, May. [Downloadable!] (restricted)

6. Alexander, Gordon J. & Baptista, Alexandre M., 2002. "Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1159-1193, July. [Downloadable!] (restricted)

   Cited by:

   1. Gordon J. Alexander & Alexandre M. Baptista & Shu Yan, 2009. "Reducing estimation risk in optimal portfolio selection when short sales are allowed," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 30(5), pages 281-305. [Downloadable!]
   2. Marno Verbeek & Jeroen VK Rombouts, 2005. "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Computing in Economics and Finance 2005 40, Society for Computational Economics. [Downloadable!]
      Other versions:
      • Rombouts, J.V.K. & Verbeek, M.J.C.M., 2009. "Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models," Research Paper ERS-2004-107-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
      • Jeroen V.K. Rombouts & Marno Verbeek, 2004. "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Cahiers de recherche 04-14, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
   3. Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan Storud, 2004. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," NBER Working Papers 10934, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   4. Y. Malevergne & D. Sornette, 2006. "Self-Consistent Asset Pricing Models," Quantitative Finance Papers physics/0608284, arXiv.org. [Downloadable!]
   5. Böhringer, Christoph & Löschel, Andreas, 2002. "Climate policy induced investments in developing countries : the implications of investment risks," ZEW Discussion Papers 02-68, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
      Other versions:
      • Christoph Böhringer & Andreas Löschel, 2008. "Climate Policy-induced Investments in Developing Countries: The Implications of Investment Risks," The World Economy, Blackwell Publishing, vol. 31(3), pages 367-392, 03. [Downloadable!] (restricted)
   6. Michael W. Brandt & Pedro Santa-Clara & Rossen Valkanov, 2004. "Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns," NBER Working Papers 10996, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   7. Y. Malevergne & D. Sornette, 2007. "A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes," Quantitative Finance Papers physics/0702027, arXiv.org. [Downloadable!]
   8. Y. Malevergne & D. Sornette, 2002. "Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous markets," Quantitative Finance Papers cond-mat/0207475, arXiv.org. [Downloadable!]

This page was last updated on 2009-11-18.