9
H index
9
i10 index
418
Citations
Alexandre M. Baptista : Citation Profile
George Washington University | RESEARCH PRODUCTION: 22 Articles 1 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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19 years (2002 - 2021). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Alexandre M. Baptista. | Is cited by:
| Cites to:
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Main data
Where Alexandre M. Baptista has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Banking & Finance | 8 |
| Journal of Economic Dynamics and Control | 2 |
| Journal of International Money and Finance | 2 |
Recent works citing Alexandre M. Baptista (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Sampling 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. Full description at Econpapers || Download paper |
| 2023 | Time-Consistent Asset Allocation for Risk Measures in a L\evy Market. (2023). Stadje, Mitja ; Fiessinger, Felix. In: Papers. RePEc:arx:papers:2305.09471. Full description at Econpapers || Download paper |
| 2023 | Benchmark Beating with the Increasing Convex Order. (2023). Xia, Jianming. In: Papers. RePEc:arx:papers:2311.01692. Full description at Econpapers || Download paper |
| 2023 | Risk management in solar-based power plants with storage: a comparative study. (2023). Mora, Carlos Ruiz ; Oliveira, Fernando S. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:38369. Full description at Econpapers || Download paper |
| 2023 | Estimated Impact of Covid-19 on Exchange Rate Risk of Multinational Enterprises Operating in Emerging Markets. (2023). Khazeh, Kashi ; Manakyan, Herman ; Arvi, Leonard. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2023-04-4. Full description at Econpapers || Download paper |
| 2023 | When trackers are aware of ESG: Do ESG ratings matter to tracking error portfolio performance?. (2023). Zhang, YI ; Wen, Limin ; Li, Junxue ; Ling, Aifan. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s026499932300158x. Full description at Econpapers || Download paper |
| 2023 | Portfolio selection: A target-distribution approach. (2023). Vrins, Frédéric ; Lassance, Nathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:1:p:302-314. Full description at Econpapers || Download paper |
| 2023 | Does green improve portfolio optimisation?. (2023). Moussa, Faten ; Boubaker, Sabri ; Banerjee, Ameet Kumar ; Akhtaruzzaman, MD. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003298. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Regulation and De-Risking: Theoretical and Empirical Insights. (2023). Gregoriou, Andros ; Haar, Lawrence. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:6:p:104-:d:1162304. Full description at Econpapers || Download paper |
| 2023 | Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints. (2023). Laurini, Fabrizio ; Gandolfi, Gino ; Arcuri, Maria Cristina. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:31:y:2023:i:2:d:10.1007_s10100-022-00821-5. Full description at Econpapers || Download paper |
| 2023 | Tail risk, beta anomaly, and demand for lottery: what explains cross-sectional variations in equity returns?. (2023). Badhani, K N ; Ali, Asgar. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-022-02355-w. Full description at Econpapers || Download paper |
| 2023 | Mean-Variance-VaR portfolios: MIQP formulation and performance analysis. (2023). Tardella, Fabio ; Martino, Manuel L ; Cesarone, Francesco. In: OR Spectrum: Quantitative Approaches in Management. RePEc:spr:orspec:v:45:y:2023:i:3:d:10.1007_s00291-023-00719-x. Full description at Econpapers || Download paper |
Works by Alexandre M. Baptista:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2005 | OPTIONS AND EFFICIENCY IN MULTIDATE SECURITY MARKETS In: Mathematical Finance. [Full Text][Citation analysis] | article | 6 |
| 2002 | Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 108 |
| 2008 | Active portfolio management with benchmarking: Adding a value-at-risk constraint In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 35 |
| 2017 | Portfolio selection with mental accounts and estimation risk In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 3 |
| 2020 | Portfolio selection with mental accounts: An equilibrium model with endogenous risk aversion In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 1 |
| 2006 | Portfolio selection with a drawdown constraint In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 25 |
| 2007 | Mean-variance portfolio selection with `at-risk constraints and discrete distributions In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 18 |
| 2008 | Optimal delegated portfolio management with background risk In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 18 |
| 2010 | Active portfolio management with benchmarking: A frontier based on alpha In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 23 |
| 2011 | Portfolio selection with mental accounts and delegation In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 8 |
| 2012 | When more is less: Using multiple constraints to reduce tail risk In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 4 |
| 2012 | Portfolio selection with mental accounts and background risk In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 17 |
| 2013 | A comparison of the original and revised Basel market risk frameworks for regulating bank capital In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 4 |
| 2003 | Spanning with American options In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 4 |
| 2009 | Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing In: Journal of Financial Intermediation. [Full Text][Citation analysis] | article | 1 |
| 2021 | Regulation of bank proprietary trading post 2007–09 crisis: An examination of the Basel framework and Volcker rule In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 0 |
| 2014 | Bank 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. [Full Text][Citation analysis] | article | 4 |
| 2006 | Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 18 |
| 2004 | A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model In: Management Science. [Full Text][Citation analysis] | article | 106 |
| 2007 | On the Non-Existence of Redundant Options In: Economic Theory. [Full Text][Citation analysis] | article | 7 |
| 2017 | Bank Capital Regulation of Trading Portfolios: An Assessment of the Basel Framework In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 2 |
| 2009 | Reducing estimation risk in optimal portfolio selection when short sales are allowed In: Managerial and Decision Economics. [Full Text][Citation analysis] | article | 4 |
| 2012 | Bank regulation and stability: An examination of the Basel market risk framework In: Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
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