Alexandre M. Baptista : Citation Profile

George Washington University

9

H index

9

i10 index

461

Citations

RESEARCH PRODUCTION:

23

Articles

1

Papers

RESEARCH ACTIVITY:

   19 years (2002 - 2021). See details.
   Cites by year: 24
   Journals where Alexandre M. Baptista has often published
   Relations with other researchers
   Recent citing documents: 28.    Total self citations: 21 (4.36 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba123
   Updated: 2026-02-07    RAS profile: 2025-11-11    
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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)

Riccetti, Luca (8)

Palomba, Giulio (7)

Galvani, Valentina (7)

Larsen, Ryan (7)

Arreola Hernandez, Jose (6)

Canestrelli, Elio (6)

Wilson, William (5)

Verbeek, Marno (4)

Righi, Marcelo (4)

Malevergne, Yannick (4)

Cites to:

Alexander, Gordon (45)

merton, robert (15)

Markowitz, Harry (13)

Levine, Ross (12)

Rochet, Jean (11)

Basak, Suleyman (11)

Artzner, Philippe (10)

Danielsson, Jon (9)

Caprio, Gerard (9)

Das, Sanjiv (8)

Yan, Shu (8)

Main data

Where Alexandre M. Baptista has published?

Journals with more than one article published# docs
Journal of Banking & Finance8
Journal of International Money and Finance2
Journal of Economic Dynamics and Control2

Recent works citing Alexandre M. Baptista (2025 and 2024)

YearTitle of citing document
2024$\rho$-arbitrage and $\rho$-consistent pricing for star-shaped risk measures. (2024). Khan, Nazem ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2202.07610.

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2024Time-Consistent Asset Allocation for Risk Measures in a L\evy Market. (2024). Stadje, Mitja ; Fiessinger, Felix. In: Papers. RePEc:arx:papers:2305.09471.

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2024Asset management with an ESG mandate. (2024). Azzone, Michele ; Barucci, Emilio ; Stocco, Davide. In: Papers. RePEc:arx:papers:2403.11622.

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2024Enhancing Risk Assessment in Transformers with Loss-at-Risk Functions. (2024). Liu, Kunpeng ; Zhang, Jinghan ; Xie, Henry. In: Papers. RePEc:arx:papers:2411.02558.

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2025The Interplay between Utility and Risk in Portfolio Selection. (2025). Baggiani, Leonardo ; Khan, Nazem ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2509.10351.

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2024Value‐at‐Risk under Measurement Error. (2024). Taamouti, Abderrahim ; Song, Xiaojun ; Doukali, Mohamed. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:3:p:690-713.

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2025Imbalanced ESG investing?. (2025). Kouretas, Georgios ; Agoraki, Maria-Eleni ; Wu, Haoran ; Zhao, Binru. In: Journal of Corporate Finance. RePEc:eee:corfin:v:93:y:2025:i:c:s0929119925000781.

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2024Unlocking portfolio resilient and persistent risk: A holistic approach to unveiling potential grounds. (2024). Reis, Pedro Nogueira ; Soares, Antonio Pedro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001232.

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2025Active portfolio management in the face of ESG uncertainty: An agile framework for adaptive investment strategies. (2025). Li, Junxue ; Wen, Limin ; Zhang, YI ; Sheng, Jiliang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002201.

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2025Time-consistent asset allocation for risk measures in a Lévy market. (2025). Stadje, Mitja ; Fiessinger, Felix. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:2:p:676-695.

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2025Dynamic growth-optimal portfolio choice under risk control. (2025). Xu, Zuo Quan ; Wei, Pengyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:322:y:2025:i:1:p:325-340.

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2025Safety nets and investment choices. (2025). Tani, Massimiliano ; Wang, Chuhong ; Liu, Xingfei ; Zhao, Yan. In: Emerging Markets Review. RePEc:eee:ememar:v:68:y:2025:i:c:s1566014125000603.

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2024Can multi-period auto-portfolio systems improve returns? Evidence from Chinese and U.S. stock markets. (2024). Zhao, Yang ; Wang, Shuai ; Lv, Mengzheng ; Gao, Jialu. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003508.

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2024Benchmark-based strategy for minimizing Riskiness. (2024). Yang, Jen-Wei. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012473.

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2024Tail mean-variance portfolio selection with estimation risk. (2024). Huang, Zhenzhen ; Wei, Pengyu ; Weng, Chengguo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:218-234.

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2024An uncertain bi-objective mean-entropy model for portfolio selection with realistic factors. (2024). Lv, Linjing ; Li, Hui ; Zhang, BO. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:225:y:2024:i:c:p:216-231.

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2024Risk hedging for VaR-constrained newsvendors. (2024). Wang, Xinyu ; Sethi, Suresh P ; Chang, Shuhua ; Li, Jiajing. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:181:y:2024:i:c:s1366554523003538.

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2024Dynamic Mean–Variance Portfolio Optimization with Value-at-Risk Constraint in Continuous Time. (2024). Wu, Weiping ; Wang, Tongyao ; Pan, Qitong ; Zhou, KE ; Gao, Jianjun. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:14:p:2268-:d:1439159.

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2025Sales Mode Selection and Blockchain Adoption for Platform Supply Chain Under Risk Aversion. (2025). Liu, Fengzhi ; Jing, YU. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:13:p:2184-:d:1694765.

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2025Multi-Objective Optimization with a Closed-Form Solution for Capital Allocation in Environmental Energy Stock Portfolio. (2025). Azahra, Astrid Sulistya ; Prihanto, Igif Gimin ; Agung, Moch Panji ; Effendie, Adhitya Ronnie ; Ibrahim, Riza Andrian. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:17:p:2844-:d:1741594.

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2024Minimum VaR and minimum CVaR optimal portfolios: The case of singular covariance matrix. (2024). Mazur, Stepan ; Oleynik, Anna ; Gulliksson, Mrten. In: Working Papers. RePEc:hhs:oruesi:2024_009.

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2024Exact and Heuristic Solution Techniques for Mixed-Integer Quantile Minimization Problems. (2024). Petris, Matteo ; Schmidt, Martin ; Labbe, Martine ; Roland, Marius ; Cattaruzza, Diego. In: INFORMS Journal on Computing. RePEc:inm:orijoc:v:36:y:2024:i:4:p:1084-1107.

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2025Multi-Stage International Portfolio Selection with Factor-Based Scenario Tree Generation. (2025). Ji, Bingbing ; Chen, Zhiping ; Mei, YU ; Liu, Jia. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:1:d:10.1007_s10614-024-10699-x.

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2025Minimum capital requirement portfolios according to the new Basel framework for market risk. (2025). Avellone, Alessandro ; Foroni, Ilaria ; Pederzoli, Chiara. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:39:y:2025:i:2:d:10.1007_s11408-024-00454-5.

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2024Equity Price Risk of Commercial Banks in India. (2024). Rout, Bhabani Sankar ; Das, Nupur Moni. In: Arthaniti: Journal of Economic Theory and Practice. RePEc:sae:artjou:v:23:y:2024:i:2:p:179-201.

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2024Using stochastic frontier analysis instead of data envelopment analysis in modelling investment performance. (2024). Lamb, John D ; Tee, Kai-Hong. In: Annals of Operations Research. RePEc:spr:annopr:v:332:y:2024:i:1:d:10.1007_s10479-023-05428-w.

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2024Risk-adjusted exponential gradient strategies for online portfolio selection. (2024). Xie, Xiuying ; He, Jinan ; Peng, Fangping. In: Journal of Combinatorial Optimization. RePEc:spr:jcomop:v:48:y:2024:i:1:d:10.1007_s10878-024-01187-x.

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2024Strong consistency of tail value-at-risk estimator and corresponding general results under widely orthant dependent samples. (2024). Zhou, Jinyu ; Yan, Jigao ; Cheng, Dongya. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:6:d:10.1007_s00362-023-01525-x.

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Works by Alexandre M. Baptista:

YearTitleTypeCited
2005OPTIONS AND EFFICIENCY IN MULTIDATE SECURITY MARKETS In: Mathematical Finance.
[Full Text][Citation analysis]		article6
2002Economic 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]		article118
2008Active portfolio management with benchmarking: Adding a value-at-risk constraint In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article39
2017Portfolio selection with mental accounts and estimation risk In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article3
2020Portfolio selection with mental accounts: An equilibrium model with endogenous risk aversion In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article1
2006Portfolio selection with a drawdown constraint In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article27
2007Mean-variance portfolio selection with `at-risk constraints and discrete distributions In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article19
2008Optimal delegated portfolio management with background risk In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article19
2010Active portfolio management with benchmarking: A frontier based on alpha In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article26
2011Portfolio selection with mental accounts and delegation In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article8
2012When more is less: Using multiple constraints to reduce tail risk In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article5
2012Portfolio selection with mental accounts and background risk In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article19
2013A comparison of the original and revised Basel market risk frameworks for regulating bank capital In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article4
2003Spanning with American options In: Journal of Economic Theory.
[Full Text][Citation analysis]		article4
2009Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article1
2021Regulation 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]		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.
[Full Text][Citation analysis]		article5
2006Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article20
2004A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model In: Management Science.
[Full Text][Citation analysis]		article120
2007On the Non-Existence of Redundant Options In: Economic Theory.
[Full Text][Citation analysis]		article7
2015On Regulatory Responses to the Recent Crisis: An Assessment of the Basel Market Risk Framework and the Volcker Rule In: Financial Markets, Institutions & Instruments.
[Full Text][Citation analysis]		article0
2017Bank Capital Regulation of Trading Portfolios: An Assessment of the Basel Framework In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]		article2
2009Reducing estimation risk in optimal portfolio selection when short sales are allowed In: Managerial and Decision Economics.
[Full Text][Citation analysis]		article5
2012Bank regulation and stability: An examination of the Basel market risk framework In: Discussion Papers.
[Full Text][Citation analysis]		paper2

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