Alexandre M. Baptista : Citation Profile


Are you Alexandre M. Baptista?

George Washington University

8

H index

8

i10 index

279

Citations

RESEARCH PRODUCTION:

20

Articles

1

Papers

RESEARCH ACTIVITY:

   15 years (2002 - 2017). See details.
   Cites by year: 18
   Journals where Alexandre M. Baptista has often published
   Relations with other researchers
   Recent citing documents: 37.    Total self citations: 17 (5.74 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pba123
   Updated: 2019-10-15    RAS profile: 2018-12-14    
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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)

Palomba, Giulio (7)

Galvani, Valentina (7)

Canestrelli, Elio (6)

Verbeek, Marno (4)

Malevergne, Yannick (4)

Araujo, Aloisio (4)

Larsen, Ryan (4)

Nguyen, Duc Khuong (4)

priestley, richard (3)

Cites to:

Alexander, Gordon (36)

merton, robert (13)

Kane, Edward (12)

Basak, Suleyman (10)

Markowitz, Harry (10)

Artzner, Philippe (9)

Rochet, Jean (8)

Levine, Ross (7)

Admati, Anat (7)

Sharpe, William (6)

Das, Sanjiv (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 (2018 and 2017)


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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2018CMBS Subordination, Ratings Inflation, and Regulatory†Capital Arbitrage. (2018). Stanton, Richard ; Wallace, Nancy. In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:1:p:175-201.

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2018A High-Moment Trapezoidal Fuzzy Random Portfolio Model with Background Risk. (2018). Xiong, Deng ; Yanli, Liu. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:6:y:2018:i:1:p:1-28:n:1.

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2018Index tracking model, downside risk and non-parametric kernel estimation. (2018). Huang, Jinbo ; Yao, Haixiang ; Li, Yong. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:103-128.

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2018The importance of hedging currency risk: Evidence from CNY and CNH. (2018). Du, Jiangze ; Lai, Kin Keung ; Hsu, Yuan-Teng ; Wang, Jying-Nan. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:81-92.

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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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2018Entropic risk measures and their comparative statics in portfolio selection: Coherence vs. convexity. (2018). Brandtner, Mario ; Rischau, Robert ; Kursten, Wolfgang. In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:2:p:707-716.

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2018Optimal privatization portfolios in the presence of arbitrary risk aversion. (2018). Topaloglou, Nikolas ; Christodoulakis, George ; Mohamed, Abdulkadir. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:3:p:1172-1191.

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2018DEA frontier improvement and portfolio rebalancing: An application of China mutual funds on considering sustainability information disclosure. (2018). Zhou, Zhongbao ; Liu, Wenbin ; Jin, Qianying ; Xiao, Helu. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:1:p:111-131.

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2018Evaluating the dynamic performance of energy portfolios: Empirical evidence from the DEA directional distance function. (2018). Zhang, Yue-Jun ; Chen, Ming-Ying. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:1:p:64-78.

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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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2018The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems. (2018). Chai, Shanglei ; Zhou, P. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:64-75.

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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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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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2018A simulation comparison of risk measures for portfolio optimization. (2018). Righi, Marcelo Brutti ; Borenstein, Denis. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:105-112.

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2017Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework. (2017). Menoncin, Francesco ; Vigna, Elena. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:172-184.

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2018Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity. (2018). Brandtner, Mario. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:89:y:2018:i:c:p:138-149.

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2018Regulation and pension fund risk-taking. (2018). Boon, L N ; Rigot, S ; Briere, M. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:84:y:2018:i:c:p:23-41.

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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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2018A Coordinated Revenue-Sharing Model for a Sustainable Closed-Loop Supply Chain. (2018). Zou, Hao ; Dai, BO ; Yang, Peng ; Qin, Jin. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:9:p:3198-:d:168329.

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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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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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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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2018On relative performance, remuneration and risk taking of asset managers. (2018). Barucci, Emilio ; Marazzina, Daniele ; Bua, Gaetano. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:4:d:10.1007_s10436-018-0324-5.

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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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2018Financial statements based bank risk aggregation. (2018). Li, Jianping ; Wu, Dengsheng ; Zhu, Xiaoqian ; Lee, Cheng-Few ; Wei, LU. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:3:d:10.1007_s11156-017-0642-0.

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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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2018Asset allocation strategies based on penalized quantile regression. (2018). Caporin, Massimiliano ; Paterlini, Sandra ; Bonaccolto, Giovanni. In: Computational Management Science. RePEc:spr:comgts:v:15:y:2018:i:1:d:10.1007_s10287-017-0288-3.

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2018Determination and estimation of risk aversion coefficients. (2018). Bodnar, Taras ; Zabolotskyy, Taras ; Vitlinskyy, Valdemar ; Okhrin, Yarema. In: Computational Management Science. RePEc:spr:comgts:v:15:y:2018:i:2:d:10.1007_s10287-018-0317-x.

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2017The Trifurcation of the Labor Markets in the Networked, Knowledge-Driven, Global Economy. (2017). Russ, Meir . In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:8:y:2017:i:2:d:10.1007_s13132-016-0434-0.

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2018An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution. (2018). Kang, Zhilin ; Li, Zhongfei. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:87:y:2018:i:2:d:10.1007_s00186-017-0614-0.

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2018Risk management with multiple VaR constraints. (2018). Chen, AN ; Stadje, Mitja ; Nguyen, Thai. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:88:y:2018:i:2:d:10.1007_s00186-018-0637-1.

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2017Analysing the information embedded in the optimal mean–variance weights: CAPM versus Bamberg and Dorfleitner model. (2017). Bosch-Badia, Maria-Teresa ; Tarrazon-Rodon, Maria-Antonia ; Montllor-Serrats, Joan. In: Review of Managerial Science. RePEc:spr:rvmgts:v:11:y:2017:i:4:d:10.1007_s11846-016-0205-0.

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2017Optimal portfolio selection with maximal risk adjusted return. (2017). Wang, Yue ; Qu, Xiaomei ; Qiu, Zhijian. In: Applied Economics Letters. RePEc:taf:apeclt:v:24:y:2017:i:14:p:1035-1040.

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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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article78
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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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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article13
2008Optimal delegated portfolio management with background risk 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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article13
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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article3
2012Portfolio selection with mental accounts and background risk In: Journal of Banking & Finance.
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article7
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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article1
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
2004A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model In: Management Science.
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article71
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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