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Alexandre M. Baptista · Study
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Author
Alexandre M. Baptista
13 works
· latest 2016
· 2 institutions
cluster: provisional
ORCID 0000-0001-9305-8698
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Citations
1,265
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Most cited in this library
A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model
2004 · 333 citations
Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis
2002 · 330 citations
Active portfolio management with benchmarking: Adding a value-at-risk constraint
2007 · 81 citations
Portfolio Performance Evaluation Using Value at Risk
2003 · 74 citations
Portfolio selection with mental accounts and background risk
2011 · 68 citations
Works
13 shown
Portfolio selection with mental accounts and estimation risk
Journal of Empirical Finance
·
2016
·
3 authors
·
Open access
29
citations
A comparison of the original and revised Basel market risk frameworks for regulating bank capital
Journal of Economic Behavior & Organization
·
2012
·
3 authors
·
Open access
19
citations
Portfolio selection with mental accounts and background risk
Journal of Banking & Finance
·
2011
·
1 author
·
Open access
68
citations
Portfolio selection with mental accounts and delegation
Journal of Banking & Finance
·
2011
·
2 authors
·
Open access
39
citations
Active portfolio management with benchmarking: A frontier based on alpha
Journal of Banking & Finance
·
2010
·
2 authors
·
Open access
57
citations
Optimal delegated portfolio management with background risk
Journal of Banking & Finance
·
2007
·
1 author
·
Open access
67
citations
Mean–variance portfolio selection with ‘at-risk’ constraints and discrete distributions
Journal of Banking & Finance
·
2007
·
3 authors
·
Open access
38
citations
Active portfolio management with benchmarking: Adding a value-at-risk constraint
Journal of Economic Dynamics and Control
·
2007
·
2 authors
·
Open access
81
citations
Portfolio selection with a drawdown constraint
Journal of Banking & Finance
·
2006
·
2 authors
·
Open access
65
citations
Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach
Journal of Monetary Economics
·
2006
·
2 authors
·
Open access
65
citations
A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model
Management Science
·
2004
·
2 authors
·
Open access
333
citations
Portfolio Performance Evaluation Using Value at Risk
The Journal of Portfolio Management
·
2003
·
2 authors
·
Open access
74
citations
Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis
Journal of Economic Dynamics and Control
·
2002
·
2 authors
·
Open access
330
citations