Gordon J. Alexander : Citation Profile


Are you Gordon J. Alexander?

University of Minnesota

16

H index

23

i10 index

1106

Citations

RESEARCH PRODUCTION:

48

Articles

2

Papers

RESEARCH ACTIVITY:

   41 years (1976 - 2017). See details.
   Cites by year: 26
   Journals where Gordon J. Alexander has often published
   Relations with other researchers
   Recent citing documents: 75.    Total self citations: 18 (1.6 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pal215
   Updated: 2022-10-01    RAS profile: 2018-08-17    
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Relations with other researchers


Works with:

Baptista, Alexandre (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Gordon J. Alexander.

Is cited by:

Schmukler, Sergio (23)

Levine, Ross (16)

Blau, Benjamin (14)

Karolyi, G. (11)

Gozzi, Juan Carlos (11)

Riccetti, Luca (10)

Wong, Wing-Keung (10)

Palomba, Giulio (9)

Baptista, Alexandre (9)

Rey, Helene (8)

Martin, Philippe (8)

Cites to:

Baptista, Alexandre (39)

merton, robert (14)

Kane, Edward (14)

Basak, Suleyman (10)

Levine, Ross (9)

Artzner, Philippe (9)

Admati, Anat (8)

Rochet, Jean (8)

Markowitz, Harry (8)

Caprio, Gerard (7)

Lee, Charles (7)

Main data


Where Gordon J. Alexander has published?


Journals with more than one article published# docs
Journal of Financial and Quantitative Analysis8
Journal of Banking & Finance6
Journal of Finance5
Journal of Financial Intermediation4
Journal of Financial Markets3
The Quarterly Review of Economics and Finance2
Managerial and Decision Economics2
Journal of Financial Economics2
Journal of Economic Dynamics and Control2
Management Science2

Recent works citing Gordon J. Alexander (2022 and 2021)


YearTitle of citing document
2021.

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2021Portfolio selection problem: Issues, challenges and future prospectus. (2021). Shahid, Mohammad ; Kumar, Akhilesh. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(629):y:2021:i:4(629):p:71-90.

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2022Reconciling TEV and VaR in Active Portfolio Management: A New Frontier. (2022). Riccetti, Luca ; Palomba, Giulio ; Nicolau, Mihaela ; Lucchetti, Riccardo (Jack). In: Working Papers. RePEc:anc:wpaper:461.

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2021A Dual Characterisation of Regulatory Arbitrage for Coherent Risk Measures. (2020). Khan, Nazem ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2009.05498.

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2021Modeling Price Clustering in High-Frequency Prices. (2021). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2102.12112.

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2021Optimal Portfolio with Power Utility of Absolute and Relative Wealth. (2021). Sarantsev, Andrey. In: Papers. RePEc:arx:papers:2105.08139.

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2021Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation. (2021). Raponi, Valentina ; Petrella, Lea ; Merlo, Luca. In: Papers. RePEc:arx:papers:2106.06518.

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2021Dynamic growth-optimum portfolio choice under risk control. (2021). Xu, Zuo Quan ; Wei, Pengyu. In: Papers. RePEc:arx:papers:2112.14451.

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2022Sensitivity to large losses and $\rho$-arbitrage for convex risk measures. (2022). Herdegen, Martin ; Khan, Nazem. In: Papers. RePEc:arx:papers:2202.07610.

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2022Volatility Sensitive Bayesian Estimation of Portfolio VaR and CVaR. (2022). Thors, Erik ; Niklasson, Vilhelm ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2205.01444.

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2022Investor feedback: impact on analyst biases and investor critical evaluation. (2022). Staehr, Simone ; Plenborg, Thomas ; Barradale, Nigel. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:1:p:767-803.

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2022Institutional trading around repurchase announcements: An uphill battle. (2022). Jain, Pankaj K ; Mishra, Suchismita ; Nguyen, Vinh Huy. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:485-507.

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2021Round?number biases on trading time: Evidence from international markets. (2021). Chen, Tao. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:3:p:469-495.

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2021Do more active funds still earn higher performance? Evidence from Active Share over time. (2021). Nelling, Edward ; Lantushenko, Viktoriya. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:4:p:725-752.

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2022Mean??$\rho$ portfolio selection and ?$\rho$?arbitrage for coherent risk measures. (2022). Khan, Nazem ; Herdegen, Martin. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:1:p:226-272.

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2021Effects of cross?border capital flows on stock returns of dual?listed firms in mainland China and Hong Kong: Evidence from a natural experiment. (2021). Yang, Zhenyu ; Lin, Jiada ; Wu, Jia ; Dong, Luo. In: Pacific Economic Review. RePEc:bla:pacecr:v:26:y:2021:i:2:p:212-240.

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2022Informed trading and the dynamics of client-dealer connections in corporate bond markets. (2020). Pinter, Gabor ; Czech, Robert. In: Bank of England working papers. RePEc:boe:boeewp:0895.

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2022Another look at portfolio optimization with mental accounts. (2022). Chiu, Wan-Yi. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:419:y:2022:i:c:s0096300321009346.

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2021A review of the Post-Earnings-Announcement Drift. (2021). Fink, Josef. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:29:y:2021:i:c:s2214635020303750.

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2021Short sales restrictions and market quality: Evidence from Korea. (2021). Hahn, Jaehoon ; Eom, Yunsung ; Sohn, Wook. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:30:y:2021:i:c:s2214635021000484.

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2021Institutional trading in firms rumored to be takeover targets. (2021). Khadivar, Hamed ; Davis, Frederick ; Walker, Thomas J. In: Journal of Corporate Finance. RePEc:eee:corfin:v:66:y:2021:i:c:s0929119920302418.

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2021Mental accounts with horizon and asymmetry preferences. (2021). Lejeune, Thomas ; Hübner, Georges ; Hubner, Georges. In: Economic Modelling. RePEc:eee:ecmode:v:103:y:2021:i:c:s0264999321002042.

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2022The existence of flight-to-quality under extreme conditions: Evidence from a nonlinear perspective in Chinese stocks and bonds sectors. (2022). Peng, Cheng ; Wang, Gangjin ; Su, Xiaojian ; Deng, Chao. In: Economic Modelling. RePEc:eee:ecmode:v:113:y:2022:i:c:s0264999322001419.

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2022Two new mean–variance enhanced index tracking models based on uncertainty theory. (2022). Huang, Xiaoxia ; Yang, Tingting. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002175.

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2022Reconciling mean-variance portfolio theory with non-Gaussian returns. (2022). Lassance, Nathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:2:p:729-740.

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2022Copula-based Black–Litterman portfolio optimization. (2022). Stephan, Andreas ; Ostermark, Ralf ; Sahamkhadam, Maziar. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:3:p:1055-1070.

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2021Does vega-neutral options trading contain information?. (2021). Yang, Heejin ; Ryu, Doojin ; Lee, Jaeram. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:294-314.

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2022Is idiosyncratic risk priced? The international evidence. (2022). Yu, Wayne ; Vivero, Maria Gabriela ; Guo, Tao ; Brockman, Paul. In: Journal of Empirical Finance. RePEc:eee:empfin:v:66:y:2022:i:c:p:121-136.

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2021Determinants of project bond prices – Insights into infrastructure and energy capital markets. (2021). Wunsche, Andreas ; Horsch, Andreas ; Heyde, Frank ; Richter, Sylvia. In: Energy Economics. RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321000803.

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2021The Price Impact of Same- and Opposing-Direction Herding by Institutions with Different Investment Horizons. (2021). Akdeniz, Levent ; Salih, Aslihan ; Iqbal, Muhammad Sabeeh. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320302592.

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2022Mean-Maximum Drawdown Optimization of Buy-and-Hold Portfolios Using a Multi-objective Evolutionary Algorithm. (2022). Jelic, Ranko ; Uroevi, Branko ; Rankovi, Vladimir ; Drenovak, Mikica. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003500.

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2022Optimized portfolio using a forward-looking expected tail loss. (2022). Sanford, Anthony. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004104.

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2022The effect of issuance documentation disclosure and readability on liquidity: Evidence from green bonds. (2022). Sassi, Syrine ; Jarjir, Souad Lajili ; Lebelle, Martin. In: Global Finance Journal. RePEc:eee:glofin:v:51:y:2022:i:c:s1044028321000764.

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2021Is there any information content of traded stocks in an emerging market? Evidence from Vietnam. (2021). Vo, Duc Hong ; Doan, Bao. In: International Economics. RePEc:eee:inteco:v:167:y:2021:i:c:p:78-87.

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2021Financial constraints and cross-listing. (2021). Zheng, Steven Xiaofan ; Song, Xiaoping ; Shi, Songhe ; Chen, Chunhua. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000093.

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2022Corporate social responsibility in market liberalization: Evidence from Shanghai-Hong Kong Stock Connect. (2022). Luo, Deming ; Wang, Beibei ; Yang, Liuyong. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:77:y:2022:i:c:s1042443122000130.

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2021Conditional value-at-risk forecasts of an optimal foreign currency portfolio. (2021). Ho, Kyu ; Kim, Dongwhan. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:838-861.

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2021Obfuscation in mutual funds. (2021). Zhu, Christina ; Xie, Chloe ; Song, Yang ; Dehaan, ED. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:72:y:2021:i:2:s0165410121000446.

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2021Portfolio selection with parsimonious higher comoments estimation. (2021). Vrins, Frederic ; Lassance, Nathan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:126:y:2021:i:c:s037842662100073x.

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2021Blessing or curse? Institutional investment in leveraged ETFs. (2021). Wang, Kainan ; Turtle, H J ; Devault, Luke. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:129:y:2021:i:c:s037842662100128x.

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2021Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation. (2021). Raponi, Valentina ; Petrella, Lea ; Merlo, Luca. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002077.

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2022Short-term reversals, returns to liquidity provision and the costs of immediacy*. (2022). Suominen, Matti ; Rinne, Kalle ; Ignashkina, Anna. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000309.

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2021A tale of two forms of proximity: Geography and market. (2021). Sul, Hong Kee ; Chung, Chune Young ; Wang, Kainan. In: Journal of Business Research. RePEc:eee:jbrese:v:122:y:2021:i:c:p:14-23.

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2021The impact of corruption, economic freedom, regulation and transparency on bank profitability and bank stability: Evidence from the Eurozone area. (2021). Tomuleasa, Iuliana ; Pilbeam, Keith ; Asteriou, Dimitrios. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:184:y:2021:i:c:p:150-177.

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2021Does regulatory cooperation help integrate equity markets?. (2021). Silvers, Roger. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:3:p:1275-1300.

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2021Liquidity and price pressure in the corporate bond market: evidence from mega-bonds. (2021). Wang, Liying ; Helwege, Jean. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:48:y:2021:i:c:s1042957321000231.

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2021Informed trading and earnings announcement driven disagreement in global markets. (2021). Chen, Tao. In: Journal of International Accounting, Auditing and Taxation. RePEc:eee:jiaata:v:43:y:2021:i:c:s1061951821000045.

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2021Regulation of bank proprietary trading post 2007–09 crisis: An examination of the Basel framework and Volcker rule. (2021). Yan, Shu ; Baptista, Alexandre ; Alexander, Gordon J. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:119:y:2021:i:c:s0261560621001418.

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2021Cross-listing and the alignment between short and long-run performance. (2021). Ghadhab, Imen. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:62:y:2021:i:c:s1042444x21000268.

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2021Deriving managerial skills by dissecting holding changes of mutual funds: Evidence from China. (2021). Sun, Ping-Wen ; Ren, HE ; Jun, Xiao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x21001190.

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2021Comparing the performance and composition of tracking error constrained and unconstrained portfolios. (2021). van Vuuren, Gary W ; du Sart, Colin F. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:81:y:2021:i:c:p:276-287.

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2021Optimal portfolio with power utility of absolute and relative wealth. (2021). Sarantsev, Andrey. In: Statistics & Probability Letters. RePEc:eee:stapro:v:179:y:2021:i:c:s0167715221001875.

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2022Reusing Natural Experiments. (2022). Werner, Ingrid M ; Samadi, Mehrdad ; Ringgenberg, Matthew ; Heath, Davidson. In: International Finance Discussion Papers. RePEc:fip:fedgif:1339.

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2021Impact of Imbalance Pricing on Variable Renewable Energies with Different Prediction Accuracies: A Korean Case. (2021). Yoon, Yong Tae ; Han, Jeongmin ; Lee, Dongsu ; Moon, Heeseung ; Kim, Seungwan. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:13:p:3976-:d:587778.

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2022.

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2021Sustainable investing in times of crisis: evidence from bond holdings and the COVID-19 pandemic. (2021). Panzica, Roberto ; Fatica, Serena. In: Working Papers. RePEc:jrs:wpaper:202107.

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2022Corporate bond yields and returns: a survey. (2022). Heck, Stephanie. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:36:y:2022:i:2:d:10.1007_s11408-021-00394-4.

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2021Double Dutch Finally Fixed? A Large-Scale Investigation into the Readability of Mandatory Financial Product Information. (2021). Stolper, O ; Scheld, D ; Walter, A. In: Journal of Consumer Policy. RePEc:kap:jcopol:v:44:y:2021:i:2:d:10.1007_s10603-021-09486-0.

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2021Firm Opacity and the Clustering of Stock Prices: the Case of Financial Intermediaries. (2021). Baig, Ahmed ; Griffith, Todd G ; Blau, Benjamin M. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:60:y:2021:i:2:d:10.1007_s10693-020-00341-w.

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2022Leverage and Risk Taking under Moral Hazard. (2022). Hott, Christian . In: Journal of Financial Services Research. RePEc:kap:jfsres:v:61:y:2022:i:2:d:10.1007_s10693-021-00359-8.

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2022Portfolio Diversification During the Belle Époque: When the Actual Portfolios of French Individual Investors Met Behavioral Finance. (2022). Parent, Antoine ; Merli, Maxime. In: Working Papers of LaRGE Research Center. RePEc:lar:wpaper:2022-01.

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2021Stealth Trading in FX Markets. (2021). Stenfors, Alexis ; Susai, Masayuki. In: Working Papers in Economics & Finance. RePEc:pbs:ecofin:2021-02.

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2021Investigating the Dynamics of Exchange Traded Funds Across the Bear and Bull Markets: Evidence from Indian Equity ETFs. (2021). Seth, Sidharath ; Singh, Jaspal ; Kaur, Prabhdeep. In: Vision. RePEc:sae:vision:v:25:y:2021:i:3:p:350-360.

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2021Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment. (2021). Ferraro, Giovanna ; Pierini, Andrea ; Naccarato, Alessia. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03225-y.

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2022Portfolio optimization with optimal expected utility risk measures. (2022). Seifried, F T ; Herbinger, J ; Graf, H ; Geissel, S. In: Annals of Operations Research. RePEc:spr:annopr:v:309:y:2022:i:1:d:10.1007_s10479-021-04403-7.

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2021Quantile-based optimal portfolio selection. (2021). Lindholm, Mathias ; Bodnar, Taras ; Tyrcha, Joanna ; Thorsen, Erik. In: Computational Management Science. RePEc:spr:comgts:v:18:y:2021:i:3:d:10.1007_s10287-021-00395-8.

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2021Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate. (2021). Najafi, Ali Reza ; Salahi, Maziar ; Khodamoradi, Tahereh. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:1:d:10.1007_s10203-020-00293-9.

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2021Cross-listings of blockchain-based tokens issued through initial coin offerings: Do liquidity and specific cryptocurrency exchanges matter?. (2021). Meyer, Andre ; Ante, Lennart. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-021-00323-0.

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2021Some key developments in international financial management. (2021). de Vargas, Santiago Ruiz ; Breuer, Wolfgang. In: Journal of Business Economics. RePEc:spr:jbecon:v:91:y:2021:i:5:d:10.1007_s11573-021-01039-8.

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2022Known Unknowns in an Era of Technological and Viral Disruptions—Implications for Theory, Policy, and Practice. (2022). Zinonos, Zinon ; Chatzichristofis, Savvas A ; Christodoulou, Panayiotis ; Carayannis, Elias G. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:13:y:2022:i:1:d:10.1007_s13132-020-00719-0.

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2022Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis. (2022). Bhurjee, A K ; Behera, Jyotirmayee ; Kumar, P. In: OPSEARCH. RePEc:spr:opsear:v:59:y:2022:i:1:d:10.1007_s12597-021-00531-7.

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2021Investors trading behaviour and stock market volatility during crisis periods: A dual long?memory model for the Korean Stock Exchange. (2021). Kartsaklas, Aris ; Yfanti, Stavroula ; Karanasos, Menelaos ; Caporale, Guglielmo Maria. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4441-4461.

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2021Informed options trading around holidays. (2021). Yu, Jinyoung ; Ryu, Doojin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:5:p:658-685.

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2022Information contents of intraday SSE 50 ETF options trades. (2022). Ryu, Doojin ; Cai, Wenye ; Luo, Xingguo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:4:p:580-604.

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2022Equity Short Selling and the Bank Loan Market. (2022). Lin, Tsechun ; Ho, Pohsin. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:54:y:2022:i:2-3:p:349-379.

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Works by Gordon J. Alexander:


YearTitleTypeCited
1979Market Timing Strategies in Convertible Debt Financing. In: Journal of Finance.
[Full Text][Citation analysis]
article6
1984 Investigating the Valuation Effects of Announcements of Voluntary Corporate Selloffs. In: Journal of Finance.
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article45
1985 More on Estimation Risk and Simple Rules for Optimal Portfolio Selection. In: Journal of Finance.
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article13
1987 Asset Pricing and Dual Listing on Foreign Capital Markets: A Note. In: Journal of Finance.
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article146
1993 Short Selling and Efficient Sets. In: Journal of Finance.
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article9
1976The Derivation of Efficient Sets In: Journal of Financial and Quantitative Analysis.
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article1
1977Mixed Security Testing of Alternative Portfolio Selection Models In: Journal of Financial and Quantitative Analysis.
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article2
1978A Reevaluation of Alternative Portfolio Selection Models Applied to Common Stocks In: Journal of Financial and Quantitative Analysis.
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article2
1980On the Estimation and Stability of Beta In: Journal of Financial and Quantitative Analysis.
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article20
1980Applying the Market Model to Long-Term Corporate Bonds In: Journal of Financial and Quantitative Analysis.
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article6
1982More on Beta as a Random Coefficient In: Journal of Financial and Quantitative Analysis.
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article14
1982Timing Decisions and the Behavior of Mutual Fund Systematic Risk In: Journal of Financial and Quantitative Analysis.
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article15
1988International Listings and Stock Returns: Some Empirical Evidence In: Journal of Financial and Quantitative Analysis.
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article127
2004Margin regulation and market quality: a microstructure analysis In: Journal of Corporate Finance.
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article5
2004Margin regulation and market quality: a microstructure analysis.(2004) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 5
paper
2002Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis In: Journal of Economic Dynamics and Control.
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article100
2008Active portfolio management with benchmarking: Adding a value-at-risk constraint In: Journal of Economic Dynamics and Control.
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article31
2017Portfolio selection with mental accounts and estimation risk In: Journal of Empirical Finance.
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article3
2008The effect of price tests on trader behavior and market quality: An analysis of Reg SHO In: Journal of Financial Markets.
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article39
2017Short selling and the pricing of closed-end funds In: Journal of Financial Markets.
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article0
2000The determinants of trading volume of high-yield corporate bonds In: Journal of Financial Markets.
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article49
1998Mutual fund shareholders: characteristics, investor knowledge, and sources of information In: Financial Services Review.
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article45
2006Portfolio selection with a drawdown constraint In: Journal of Banking & Finance.
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article25
2007Mean-variance portfolio selection with `at-risk constraints and discrete distributions In: Journal of Banking & Finance.
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article18
2010Active portfolio management with benchmarking: A frontier based on alpha In: Journal of Banking & Finance.
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article17
2011Portfolio selection with mental accounts and delegation In: Journal of Banking & Finance.
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article10
2012When more is less: Using multiple constraints to reduce tail risk In: Journal of Banking & Finance.
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article3
1985Using linear and goal programming to immunize bond portfolios In: Journal of Banking & Finance.
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article4
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2009Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing In: Journal of Financial Intermediation.
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2014Bank regulation and international financial stability: A case against the 2006 Basel framework for controlling tail risk in trading books In: Journal of International Money and Finance.
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2006Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach In: Journal of Monetary Economics.
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2001Does mutual fund disclosure at banks matter? Evidence from a survey of investors1 In: The Quarterly Review of Economics and Finance.
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2007Does Motivation Matter When Assessing Trade Performance? An Analysis of Mutual Funds In: Review of Financial Studies.
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2017Bank Capital Regulation of Trading Portfolios: An Assessment of the Basel Framework In: Journal of Money, Credit and Banking.
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2009Reducing estimation risk in optimal portfolio selection when short sales are allowed In: Managerial and Decision Economics.
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