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Alexandre M. Baptista

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This is information that was supplied by Alexandre Baptista in registering through RePEc. If you are Alexandre M. Baptista , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Alexandre
Middle Name: M.
Last Name: Baptista
Suffix:

RePEc Short-ID: pba123

Email:
Homepage: http://home.gwu.edu/~alexbapt/
Postal Address: School of Business, Funger Hall, Suite 501, 2201 G Street, NW, Washington, DC 20052
Phone: (202) 994-3309

Affiliation

School of Business
George Washington University
Location: Washington, District of Columbia (United States)
Homepage: http://www.business.gwu.edu/
Email:
Phone:
Fax:
Postal:
Handle: RePEc:edi:sbpgwus (more details at EDIRC)

Lists

This author is featured on the following reading lists, publication compilations or Wikipedia entries:
  1. Portuguese Economists

Works

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Working papers

  1. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2012. "Bank regulation and stability: An examination of the Basel market risk framework," Discussion Papers, Deutsche Bundesbank, Research Centre 09/2012, Deutsche Bundesbank, Research Centre.

Articles

  1. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2014. "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, Elsevier, Elsevier, vol. 43(C), pages 107-130.
  2. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2013. "A comparison of the original and revised Basel market risk frameworks for regulating bank capital," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 85(C), pages 249-268.
  3. Baptista, Alexandre M., 2012. "Portfolio selection with mental accounts and background risk," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(4), pages 968-980.
  4. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2012. "When more is less: Using multiple constraints to reduce tail risk," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(10), pages 2693-2716.
  5. Alexander, Gordon J. & Baptista, Alexandre M., 2011. "Portfolio selection with mental accounts and delegation," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(10), pages 2637-2656, October.
  6. Alexander, Gordon J. & Baptista, Alexandre M., 2010. "Active portfolio management with benchmarking: A frontier based on alpha," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(9), pages 2185-2197, September.
  7. Alexander, Gordon J. & Baptista, Alexandre M., 2009. "Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 18(1), pages 65-92, January.
  8. 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., John Wiley & Sons, Ltd., vol. 30(5), pages 281-305.
  9. 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, Elsevier, vol. 32(3), pages 779-820, March.
  10. Baptista, Alexandre M., 2008. "Optimal delegated portfolio management with background risk," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(6), pages 977-985, June.
  11. 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, Elsevier, vol. 31(12), pages 3761-3781, December.
  12. Alexandre Baptista, 2007. "On the Non-Existence of Redundant Options," Economic Theory, Springer, Springer, vol. 31(2), pages 205-212, May.
  13. Alexander, Gordon J. & Baptista, Alexandre M., 2006. "Portfolio selection with a drawdown constraint," Journal of Banking & Finance, Elsevier, Elsevier, vol. 30(11), pages 3171-3189, November.
  14. Alexander, Gordon J. & Baptista, Alexandre M., 2006. "Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach," Journal of Monetary Economics, Elsevier, Elsevier, vol. 53(7), pages 1631-1660, October.
  15. Alexandre M. Baptista, 2005. "Options And Efficiency In Multidate Security Markets," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 15(4), pages 569-587.
  16. Gordon J. Alexander & Alexandre M. Baptista, 2004. "A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model," Management Science, INFORMS, INFORMS, vol. 50(9), pages 1261-1273, September.
  17. Baptista, Alexandre M., 2003. "Spanning with American options," Journal of Economic Theory, Elsevier, Elsevier, vol. 110(2), pages 264-289, June.
  18. 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, Elsevier, vol. 26(7-8), pages 1159-1193, July.

NEP Fields

1 paper by this author was announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (1) 2012-05-22. Author is listed
  2. NEP-CBA: Central Banking (1) 2012-05-22. Author is listed
  3. NEP-RMG: Risk Management (1) 2012-05-22. Author is listed

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