Alexandre M. Baptista : Citation Profile


Are you Alexandre M. Baptista?

George Washington University

9

H index

9

i10 index

311

Citations

RESEARCH PRODUCTION:

21

Articles

1

Papers

RESEARCH ACTIVITY:

   18 years (2002 - 2020). See details.
   Cites by year: 17
   Journals where Alexandre M. Baptista has often published
   Relations with other researchers
   Recent citing documents: 25.    Total self citations: 19 (5.76 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pba123
   Updated: 2020-09-22    RAS profile: 2020-06-08    
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Relations with other researchers


Works with:

Yan, Shu (2)

Alexander, Gordon (2)

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 (13)

Larsen, Ryan (7)

Galvani, Valentina (7)

Riccetti, Luca (6)

Canestrelli, Elio (6)

Wilson, William (5)

Palomba, Giulio (5)

Nguyen, Duc Khuong (4)

Parolya, Nestor (4)

Araujo, Aloisio (4)

Malevergne, Yannick (4)

Cites to:

Alexander, Gordon (40)

merton, robert (14)

Kane, Edward (14)

Markowitz, Harry (12)

Basak, Suleyman (10)

Rochet, Jean (9)

Artzner, Philippe (9)

Laibson, David (8)

Choi, James (8)

Levine, Ross (8)

Madrian, Brigitte (8)

Main data


Where Alexandre M. Baptista has published?


Journals with more than one article published# docs
Journal of Banking & Finance8
Journal of Economic Dynamics and Control2

Recent works citing Alexandre M. Baptista (2020 and 2019)


YearTitle of citing document
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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2019Portfolios Optimizations of Behavioral Stocks with Perception Probability Weightings. (2019). Young, Michael Nayat ; Chang, Kuo-Hwa. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2019:v:20:i:2:changyoung.

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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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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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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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2020How does background risk affect portfolio choice: An analysis based on uncertain mean-variance model with background risk. (2020). Huang, Xiaoxia ; Yang, Tingting. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302997.

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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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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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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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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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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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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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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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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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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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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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article85
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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article1
2020Portfolio selection with mental accounts: An equilibrium model with endogenous risk aversion In: Journal of Banking & Finance.
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article0
2006Portfolio selection with a drawdown constraint In: Journal of Banking & Finance.
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article20
2007Mean-variance portfolio selection with `at-risk constraints and discrete distributions In: Journal of Banking & Finance.
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article14
2008Optimal delegated portfolio management with background risk In: Journal of Banking & Finance.
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article16
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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article7
2012When more is less: Using multiple constraints to reduce tail risk In: Journal of Banking & Finance.
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article3
2012Portfolio selection with mental accounts and background risk In: Journal of Banking & Finance.
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article13
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
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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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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article13
2004A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model In: Management Science.
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article79
2007On the Non-Existence of Redundant Options In: Economic Theory.
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article4
2017Bank Capital Regulation of Trading Portfolios: An Assessment of the Basel Framework In: Journal of Money, Credit and Banking.
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article0
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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paper2

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