Gordon J. Alexander : Citation Profile


Are you Gordon J. Alexander?

University of Minnesota

14

H index

20

i10 index

929

Citations

RESEARCH PRODUCTION:

48

Articles

2

Papers

RESEARCH ACTIVITY:

   41 years (1976 - 2017). See details.
   Cites by year: 22
   Journals where Gordon J. Alexander has often published
   Relations with other researchers
   Recent citing documents: 60.    Total self citations: 18 (1.9 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pal215
   Updated: 2020-09-22    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 (22)

Levine, Ross (16)

Blau, Benjamin (11)

Karolyi, G. (11)

Gozzi, Juan Carlos (11)

Wong, Wing-Keung (10)

Rey, Helene (8)

Riccetti, Luca (8)

Martin, Philippe (8)

Palomba, Giulio (7)

Larsen, Ryan (7)

Cites to:

Baptista, Alexandre (39)

merton, robert (14)

Kane, Edward (14)

Basak, Suleyman (10)

Artzner, Philippe (9)

Markowitz, Harry (8)

Levine, Ross (8)

Rochet, Jean (8)

Admati, Anat (8)

Lee, Charles (7)

Caprio, Gerard (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
Managerial and Decision Economics2
Journal of Economic Dynamics and Control2
The Quarterly Review of Economics and Finance2
Journal of Financial Economics2
Management Science2

Recent works citing Gordon J. Alexander (2020 and 2019)


YearTitle of citing document
2020Intraday Trading Invariance in the E-mini S&P 500 Futures Market. (2020). Bondarenko, Oleg ; Andersen, Torben G ; Obizhaeva, Anna A ; Kyle, Albert S. In: Working Papers. RePEc:abo:neswpt:w0272.

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2019Optimal FX Hedge Tenor with Liquidity Risk. (2019). Loeper, Gregoire ; Aarons, Mark ; Zhang, Rongju. In: Papers. RePEc:arx:papers:1903.06346.

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2019Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions. (2019). Thors, Erik ; Parolya, Nestor ; Dette, Holger ; Bodnar, Taras. In: Papers. RePEc:arx:papers:1908.04243.

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2020A 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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2019Measuring corporate bond liquidity in emerging market economies: price- vs quantity-based measures. (2019). Packer, Frank ; Li, Ran ; Helwege, Jean ; Hameed, Allaudeen . In: BIS Papers chapters. RePEc:bis:bisbpc:102-07.

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2020When are dividend increases bad for corporate bonds?. (2020). Do, Viet ; Truong, Cameron ; Wei, Xiaoting. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:2:p:1295-1326.

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2019Early Movers Advantage? Evidence from Short Selling during After‐Hours on Earnings Announcement Days. (2019). Jiang, Christine X ; Jain, Chinmay. In: The Financial Review. RePEc:bla:finrev:v:54:y:2019:i:2:p:235-264.

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2020The local market perception of firm risks during cross‐listing events. (2020). Sono, Hui ; Semaan, Elias ; Schumannfoster, Kathryn. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:2:p:221-246.

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2019Investors Trading Behaviour and Stock Market Volatility during Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange. (2019). Caporale, Guglielmo Maria ; Kartsaklas, Aris ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7984.

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2019Strategic Trading as a Response to Short Sellers. (2019). Tubaldi, Roberto ; Massa, Massimo ; Franzoni, Francesco ; Dimaggio, Marco ; di Maggio, Marco. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13812.

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2019Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR. (2019). Gao, Jianjun ; Cui, Xiangyu ; Li, Duan ; Strub, Moris S. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301502.

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2019A bi-level programming approach for global investment strategies with financial intermediation. (2019). Benita, Francisco ; Nasini, Stefano ; Lopez-Ramos, Francisco . In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:1:p:375-390.

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2020Beyond expected utility: Subjective risk aversion and optimal portfolio choice under convex shortfall risk measures. (2020). Kursten, Wolfgang ; Brandtner, Mario ; Rischau, Robert. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:3:p:1114-1126.

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2019Portfolio concentration and mutual fund performance. (2019). Riley, Timothy B ; Fulkerson, Jon A. In: Journal of Empirical Finance. RePEc:eee:empfin:v:51:y:2019:i:c:p:1-16.

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2019Why do institutions like corporate social responsibility investments? evidence from horizon heterogeneity. (2019). Yan, Xinyan ; Tang, Tian ; Fu, Xudong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:51:y:2019:i:c:p:44-63.

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2019Perceived information, short interest, and institutional demand. (2019). Chung, Chune Young ; Wang, Kainan ; Devault, Luke. In: Journal of Empirical Finance. RePEc:eee:empfin:v:54:y:2019:i:c:p:22-38.

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2019The role of bitcoin in well diversified portfolios: A comparative global study. (2019). Moro, Andrea ; Kajtazi, Anton. In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:143-157.

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2019Short-term trading skill: An analysis of investor heterogeneity and execution quality. (2019). Sotiropoulos, Michael G ; Moallemi, Ciamac C ; Salam, Mehmet. In: Journal of Financial Markets. RePEc:eee:finmar:v:42:y:2019:i:c:p:1-28.

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2019Informed contrarian trades and stock returns. (2019). Chang, Sanders ; Wang, Albert F. In: Journal of Financial Markets. RePEc:eee:finmar:v:42:y:2019:i:c:p:75-93.

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2019ADR valuation and listing of foreign firms in U.S. Equity markets. (2019). Zheng, Steven Xiaofan ; Song, Xiaoping ; Mittoo, Usha ; Li, Tianze. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:284-298.

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2019Systematic extreme downside risk. (2019). Stoja, Evarist ; Nguyen, Linh H. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:128-142.

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2019Long-term asset allocation, risk tolerance and market sentiment. (2019). Joliet, Robert ; Erdemlioglu, Deniz. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:62:y:2019:i:c:p:1-19.

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2019Trade-size clustering and price efficiency. (2019). Chen, Tao. In: Japan and the World Economy. RePEc:eee:japwor:v:49:y:2019:i:c:p:195-203.

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2020Portfolio selection with mental accounts: An equilibrium model with endogenous risk aversion. (2020). Yan, Shu ; Baptista, Alexandre M ; Alexander, Gordon J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:110:y:2020:i:c:s0378426619301669.

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2020Shareholder investment horizons and bank debt financing. (2020). Tang, Tian ; Fu, Xudong ; Cline, Brandon N. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:110:y:2020:i:c:s0378426619302316.

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2020Market risk-based capital requirements, trading activity, and bank risk. (2020). Torna, Gokhan ; Kitsul, Yuriy ; Holod, Dmytro. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302054.

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2019The effect of pro-environmental preferences on bond prices: Evidence from green bonds. (2019). Zerbib, Olivier David. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:98:y:2019:i:c:p:39-60.

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2019Institutional herding and its price impact: Evidence from the corporate bond market. (2019). Cai, Fang ; Li, YI ; Han, Song. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:1:p:139-167.

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2020Potential pilot problems: Treatment spillovers in financial regulatory experiments. (2020). Boehmer, Ekkehart ; Zhang, Xiaoyan ; Jones, Charles M. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:1:p:68-87.

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2019Can short selling activity predict the future returns of non-shortable peer firms?. (2019). Chi, Yanzhe ; Hu, Ting. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:53:y:2019:i:c:p:165-185.

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2019Financial distress, short sale constraints, and mispricing. (2019). Na, Haejung ; Lee, Inro ; Kim, Dongcheol. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:53:y:2019:i:c:p:94-111.

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2019Margin-trading volatility and stock price crash risk. (2019). Wu, Wenfeng ; Lv, Dayong. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:56:y:2019:i:c:p:179-196.

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2019Measuring the liquidity impact on catastrophe bond spreads. (2019). Yu, Min-Teh ; Zhao, Yang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:56:y:2019:i:c:p:197-210.

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2020Heterogeneous institutional preferences and informativeness: Evidence from China. (2020). Sun, Ping-Wen ; Du, Jianing ; Liao, Wenbin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:60:y:2020:i:c:s0927538x18305481.

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2019A Generalized Error Distribution Copula-based method for portfolios risk assessment. (2019). Cerqueti, Roy ; Giacalone, Massimiliano ; Panarello, Demetrio. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:524:y:2019:i:c:p:687-695.

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2020Whose trades move stock prices? Evidence from the Taiwan Stock Exchange. (2020). Lin, Zong-Wei ; Hung, Pi-Hsia ; Lien, Donald. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:25-50.

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2019Empirical analysis of intertemporal relations between downside risks and expected returns—Evidence from Asian markets. (2019). Chiang, Thomas C. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:264-278.

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2020Measuring the multi-faceted dimension of liquidity in financial markets: A literature review. (2020). Diaz, Antonio ; Escribano, Ana. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531918311024.

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2019Statistical Inference for the Beta Coefficient. (2019). Zabolotskyy, Taras ; Vitlinskyi, Valdemar ; Gupta, Arjun K ; Bodnar, Taras. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:2:p:56-:d:231435.

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2019The Impact of Financial Leverage on Shareholders’ Systematic Risk. (2019). Yagil, Yossi ; Aharon, David Yechiam. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:23:p:6548-:d:289032.

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2019Comparison of Carbon Emission Reduction Modes: Impacts of Capital Constraint and Risk Aversion. (2019). Liu, LU ; Deng, Weisheng. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:6:p:1661-:d:215362.

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2020Institutional Investors’ Trading Response to Stock Market Anomalies: Evidence from Korea. (2020). Kim, Jungmu ; Park, Yuen Jung ; Ok, Youngkyung. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:4:p:1420-:d:320702.

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2019Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method. (2019). Langrene, Nicolas ; Zhang, Rongju ; Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU. In: Post-Print. RePEc:hal:journl:hal-02909342.

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2019An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection. (2019). Mazur, Stepan ; Gulliksson, Mrten. In: Working Papers. RePEc:hhs:oruesi:2019_003.

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2020Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules. (2020). Fabozzi, Frank J ; Brogi, Marina ; Lagasio, Valentina ; Russo, Vincenzo. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:1:d:10.1007_s10436-020-00358-0.

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2020Corporate Assets and Enhancing Firm Value: Evidence from the Market for Bank Branches in the US. (2020). Jang, Karen Y. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:57:y:2020:i:3:d:10.1007_s10693-019-00317-5.

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2020The Wealth Effects of REIT Property Acquisitions and Dispositions: the Creditors’ Perspective. (2020). Ong, Seow Eng ; Mori, Masaki ; Ling, David C. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:60:y:2020:i:3:d:10.1007_s11146-018-9677-9.

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2020Price limit changes, order decisions, and stock price movements: an empirical analysis of the Taiwan Stock Exchange. (2020). Hung, Pi-Hsia ; Lien, Donald ; Pan, Chiu-Ting. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:55:y:2020:i:1:d:10.1007_s11156-019-00842-3.

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2019.

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2020Is Financial Globalization in Reverse After the 2008 Global Financial Crisis? Evidence from Corporate Valuations. (2020). Stulz, René ; Karolyi, G. ; Doidge, Craig. In: NBER Working Papers. RePEc:nbr:nberwo:27022.

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2019Mean–variance, mean–VaR, and mean–CVaR models for portfolio selection with background risk. (2019). Wong, Wing-Keung ; Zhu, Lixing ; Chan, Raymond H ; Guo, XU. In: Risk Management. RePEc:pal:risman:v:21:y:2019:i:2:d:10.1057_s41283-018-0043-2.

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2019Information Environments and High Price Impact Trades: Implication for Volatility and Price Efficiency. (2019). Dionne, Georges ; Zhou, Xiaozhou. In: Working Papers. RePEc:ris:crcrmw:2019_003.

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2020.

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2020An energy-based measure for long-run horizon risk quantification. (2020). Maurer, Frantz ; Tzagkarakis, George . In: Annals of Operations Research. RePEc:spr:annopr:v:289:y:2020:i:2:d:10.1007_s10479-020-03609-5.

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2020A robust behavioral portfolio selection: model with investor attitudes and biases. (2020). Seifi, Abbas ; Esfahanipour, Akbar ; Momen, Omid. In: Operational Research. RePEc:spr:operea:v:20:y:2020:i:1:d:10.1007_s12351-017-0330-9.

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2020Fast Quadratic Programming for Mean-Variance Portfolio Optimisation. (2020). Kontosakos, Vasileios E. In: SN Operations Research Forum. RePEc:spr:snopef:v:1:y:2020:i:3:d:10.1007_s43069-020-00025-0.

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2020Leaders and followers in mutual funds: A dynamic Bayesian approach. (2020). Sarto, Jose L ; Andreu, Laura ; Salvador, Manuel ; Gargallo, Pilar. In: Applied Stochastic Models in Business and Industry. RePEc:wly:apsmbi:v:36:y:2020:i:4:p:679-695.

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2019Multi-Loss WCVaR Risk Decision Optimization Based On Weight for Centralized Supply Problem of Direct Chain Enterprises. (2019). Meng, Zhiqing ; Leiyan, XU. In: Asia-Pacific Journal of Operational Research (APJOR). RePEc:wsi:apjorx:v:36:y:2019:i:02:n:s0217595919400074.

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2019Who Reacts to News?. (2019). Petkevich, Alex ; Huang, Kershen ; Gilstrap, Collin ; Chichernea, Doina. In: Quarterly Journal of Finance (QJF). RePEc:wsi:qjfxxx:v:09:y:2019:i:01:n:s2010139219400020.

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2019Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect?. (2019). Hautsch, Nikolaus ; Walsh, Christopher ; Cebiroglu, Gokhan . In: CFS Working Paper Series. RePEc:zbw:cfswop:625.

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Works by Gordon J. Alexander:


YearTitleTypeCited
1979Market Timing Strategies in Convertible Debt Financing. In: Journal of Finance.
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article6
1984 Investigating the Valuation Effects of Announcements of Voluntary Corporate Selloffs. In: Journal of Finance.
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article42
1985 More on Estimation Risk and Simple Rules for Optimal Portfolio Selection. In: Journal of Finance.
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article10
1987 Asset Pricing and Dual Listing on Foreign Capital Markets: A Note. In: Journal of Finance.
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article137
1993 Short Selling and Efficient Sets. In: Journal of Finance.
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article8
1976The Derivation of Efficient Sets In: Journal of Financial and Quantitative Analysis.
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article0
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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article14
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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article13
1982Timing Decisions and the Behavior of Mutual Fund Systematic Risk In: Journal of Financial and Quantitative Analysis.
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article14
1988International Listings and Stock Returns: Some Empirical Evidence In: Journal of Financial and Quantitative Analysis.
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article116
2004Margin regulation and market quality: a microstructure analysis In: Journal of Corporate Finance.
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article2
2004Margin regulation and market quality: a microstructure analysis.(2004) In: Post-Print.
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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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article84
2008Active portfolio management with benchmarking: Adding a value-at-risk constraint In: Journal of Economic Dynamics and Control.
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article22
2017Portfolio selection with mental accounts and estimation risk In: Journal of Empirical Finance.
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article2
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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article29
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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article40
1998Mutual fund shareholders: characteristics, investor knowledge, and sources of information In: Financial Services Review.
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article36
2006Portfolio selection with a drawdown constraint In: Journal of Banking & Finance.
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article21
2007Mean-variance portfolio selection with `at-risk constraints and discrete distributions In: Journal of Banking & Finance.
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article14
2010Active portfolio management with benchmarking: A frontier based on alpha In: Journal of Banking & Finance.
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article14
2011Portfolio selection with mental accounts and delegation In: Journal of Banking & Finance.
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article9
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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article3
2013A comparison of the original and revised Basel market risk frameworks for regulating bank capital In: Journal of Economic Behavior & Organization.
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article1
1977An algorithmic approach to deriving the minimum-variance zero-beta portfolio In: Journal of Financial Economics.
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article1
2007An analysis of trade-size clustering and its relation to stealth trading In: Journal of Financial Economics.
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article57
2002Implications of a Reduction in Tick Size on Short-Sell Order Execution In: Journal of Financial Intermediation.
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article3
2009Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing In: Journal of Financial Intermediation.
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article1
2014The puzzling behavior of short sellers around earnings announcements In: Journal of Financial Intermediation.
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1999Short Selling on the New York Stock Exchange and the Effects of the Uptick Rule In: Journal of Financial Intermediation.
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article8
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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article4
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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article12
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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article2
2007Guest Editorial In: The Quarterly Review of Economics and Finance.
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2000What Does Nasdaqs High Yield Bond Market Reveal about Bondholder-Shareholder Conflict? In: Financial Management.
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article17
1977An Algorithm for Deriving the Capital Market Line In: Management Science.
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2004A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model In: Management Science.
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article79
2007Does Motivation Matter When Assessing Trade Performance? An Analysis of Mutual Funds In: Review of Financial Studies.
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article70
2009From Markowitz to modern risk management In: The European Journal of Finance.
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article9
2000On Back-Testing Zero-Investment Strategies. In: The Journal of Business.
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article6
1996A graphical note on European put thetas In: Journal of Futures Markets.
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article1
2017Bank Capital Regulation of Trading Portfolios: An Assessment of the Basel Framework In: Journal of Money, Credit and Banking.
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article0
1997Investor self-selection: evidence from a mutual fund survey In: Managerial and Decision Economics.
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article3
2009Reducing estimation risk in optimal portfolio selection when short sales are allowed In: Managerial and Decision Economics.
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article3
2012Bank regulation and stability: An examination of the Basel market risk framework In: Discussion Papers.
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