Alexandre M. Baptista : Citation Profile


Are you Alexandre M. Baptista?

George Washington University

8

H index

7

i10 index

202

Citations

RESEARCH PRODUCTION:

19

Articles

1

Papers

RESEARCH ACTIVITY:

   15 years (2002 - 2017). See details.
   Cites by year: 13
   Journals where Alexandre M. Baptista has often published
   Relations with other researchers
   Recent citing documents: 25.    Total self citations: 15 (6.91 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba123
   Updated: 2017-07-15    RAS profile: 2017-07-09    
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Relations with other researchers


Works with:

Alexander, Gordon (4)

Yan, Shu (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Alexandre M. Baptista.

Is cited by:

Wong, Wing-Keung (9)

Riccetti, Luca (8)

Galvani, Valentina (7)

Palomba, Giulio (7)

Canestrelli, Elio (6)

Malevergne, Yannick (4)

Larsen, Ryan (4)

Eling, Martin (3)

Verbeek, Marno (3)

Zhu, Lixing (3)

priestley, richard (3)

Cites to:

Alexander, Gordon (36)

merton, robert (13)

Kane, Edward (12)

Markowitz, Harry (10)

Basak, Suleyman (10)

Artzner, Philippe (9)

Levine, Ross (7)

Rochet, Jean (7)

Admati, Anat (7)

Sharpe, William (6)

Choi, James (6)

Main data


Where Alexandre M. Baptista has published?


Journals with more than one article published# docs
Journal of Banking & Finance7
Journal of Economic Dynamics and Control2

Recent works citing Alexandre M. Baptista (2017 and 2016)


YearTitle of citing document
2016Analysis and Forecasting of Electricty Price Risks with Quantile Factor Models. (2016). Derek, Arne Andresen . In: The Energy Journal. RePEc:aen:journl:ej37-1-bunn.

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2016Shortfall Deviation Risk: An alternative to risk measurement. (2016). Righi, Marcelo Brutti ; Ceretta, Paulo Sergio . In: Papers. RePEc:arx:papers:1501.02007.

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2016Option spanning beyond $L_p$-models. (2016). Gao, Niushan ; Xanthos, Foivos . In: Papers. RePEc:arx:papers:1603.01288.

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2016When Behavioral Portfolio Theory meets Markowitz theory. (2016). Bourachnikova, Olga ; Roger, Tristan ; Pfiffelmann, Marie . In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:419-435.

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2016A large CVaR-based portfolio selection model with weight constraints. (2016). Xu, Qifa ; Niu, Xufeng ; Yu, Keming ; Jiang, Cuixia ; Zhou, Yingying . In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:436-447.

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2016Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time. (2016). Xiong, Yan ; Li, Duan ; Gao, Jianjun . In: European Journal of Operational Research. RePEc:eee:ejores:v:249:y:2016:i:2:p:647-656.

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2016Portfolio optimization with disutility-based risk measure. (2016). Fulga, Cristinca . In: European Journal of Operational Research. RePEc:eee:ejores:v:251:y:2016:i:2:p:541-553.

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2017Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios. (2017). Nguyen, Duc Khuong ; Berger, Theo ; Hernandez, Jose Arreola . In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:3:p:1121-1131.

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2017Mean-VaR portfolio optimization: A nonparametric approach. (2017). Lwin, Khin T ; MacCarthy, Bart L ; Qu, Rong . In: European Journal of Operational Research. RePEc:eee:ejores:v:260:y:2017:i:2:p:751-766.

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2017Portfolio selection with mental accounts and estimation risk. (2017). Alexander, Gordon J ; Yan, Shu ; Baptista, Alexandre M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:161-186.

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2017A new active portfolio risk management for an electricity retailer based on a drawdown risk preference. (2017). Charwand, Mansour ; Siano, Pierluigi ; Gitizadeh, Mohsen . In: Energy. RePEc:eee:energy:v:118:y:2017:i:c:p:387-398.

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2016Reviewing the hedge funds literature II: Hedge funds returns and risk management characteristics. (2016). Hudson, Robert ; Azevedo, Alcino ; el Kalak, Izidin . In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:55-66.

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2016Enhanced index tracking optimal portfolio selection. (2016). de Paulo, Wanderlei Lima ; Do, Oswaldo Luiz ; de Oliveira, Estela Mara . In: Finance Research Letters. RePEc:eee:finlet:v:16:y:2016:i:c:p:93-102.

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2016Multi-period portfolio optimization under probabilistic risk measure. (2016). Zhu, Yanjian ; Aw, Grace ; Teo, Kok Lay ; Sun, Yufei ; Wang, Xiangyu . In: Finance Research Letters. RePEc:eee:finlet:v:18:y:2016:i:c:p:60-66.

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2016Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints. (2016). Liang, Zongxia ; Guan, Guohui . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:224-237.

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2016Optimal reinsurance under dynamic VaR constraint. (2016). Zhang, Nan ; Chen, Ping ; Li, Shuanming ; Jin, Zhuo . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:232-243.

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2016The economic value of controlling for large losses in portfolio selection. (2016). Dias, Alexandra . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:s:p:s81-s91.

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2016Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries. (2016). Härdle, Wolfgang ; Chen, Cathy Yi-Hsuan ; Hardle, Wolfgang Karl ; Chiang, Thomas C. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2016-001.

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2016Performance Comparison Between Real Estate Securities and Real Estate Investment Using Stochastic Dominance and Mean-Variance Analysis. (2016). Nittayagasetwat, Aekkachai ; Buranasiri, Jiroj . In: International Conference on Economic Sciences and Business Administration. RePEc:icb:wpaper:v:3:y:2016:i:1:208-219.

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2017“Resolution of optimization problems and construction of efficient portfolios: An application to the Euro Stoxx 50 index. (2017). Sosvilla-Rivero, Simon ; Adame-Garcia, Victor ; Fernandez-Rodriguez, Fernando . In: IREA Working Papers. RePEc:ira:wpaper:201702.

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2017How does the underlying affect the risk-return profiles of structured products?. (2017). Cao, Ji. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:31:y:2017:i:1:d:10.1007_s11408-016-0281-9.

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2016Revision of the quantification of market risk in the Basel III regulatory framework. (2016). Bugar, Gyongyi ; Ratting, Anita . In: Financial and Economic Review. RePEc:mnb:finrev:v:15:y:2016:i:1:p:33-50.

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2017How risky is the optimal portfolio which maximizes the Sharpe ratio?. (2017). Bodnar, Taras ; Zabolotskyy, Taras . In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:101:y:2017:i:1:d:10.1007_s10182-016-0270-3.

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2016A representation of risk measures. (2016). amarante, massimiliano. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:39:y:2016:i:1:d:10.1007_s10203-016-0170-8.

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2016Spektrale Risikomaße: Konzeption, betriebswirtschaftliche Anwendungen und Fallstricke. (2016). Brandtner, Mario . In: Management Review Quarterly. RePEc:spr:manrev:v:66:y:2016:i:2:d:10.1007_s11301-015-0116-1.

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Works by Alexandre M. Baptista:


YearTitleTypeCited
2005OPTIONS AND EFFICIENCY IN MULTIDATE SECURITY MARKETS In: Mathematical Finance.
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article5
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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article53
2008Active portfolio management with benchmarking: Adding a value-at-risk constraint In: Journal of Economic Dynamics and Control.
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article19
2017Portfolio selection with mental accounts and estimation risk In: Journal of Empirical Finance.
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article0
2006Portfolio selection with a drawdown constraint In: Journal of Banking & Finance.
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article17
2007Mean-variance portfolio selection with `at-risk constraints and discrete distributions In: Journal of Banking & Finance.
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article11
2008Optimal delegated portfolio management with background risk In: Journal of Banking & Finance.
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article10
2010Active portfolio management with benchmarking: A frontier based on alpha In: Journal of Banking & Finance.
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article11
2011Portfolio selection with mental accounts and delegation In: Journal of Banking & Finance.
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article5
2012When more is less: Using multiple constraints to reduce tail risk In: Journal of Banking & Finance.
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article1
2012Portfolio selection with mental accounts and background risk In: Journal of Banking & Finance.
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article6
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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article0
2003Spanning with American options In: Journal of Economic Theory.
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article4
2009Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing In: Journal of Financial Intermediation.
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article1
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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article0
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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article8
2004A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model In: Management Science.
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article42
2007On the Non-Existence of Redundant Options In: Economic Theory.
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article5
2009Reducing estimation risk in optimal portfolio selection when short sales are allowed In: Managerial and Decision Economics.
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article2
2012Bank regulation and stability: An examination of the Basel market risk framework In: Discussion Papers.
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paper2

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