Research page of Alexandre M. Baptista

From Mean-Variance Analysis to Mental Accounting and Back: Bridging Contributions of Markowitz to Portfolio Selection, European Journal of Finance, forthcoming.

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Appendix to published paper version (contains proofs of theoretical results in the paper)

Appendix to working paper version (contains proofs of theoretical results in the paper)

Regulation of Bank Proprietary Trading Post 2007-09 Crisis: An Examination of the Basel Framework and Volcker Rule, 2021, with Gordon J. Alexander and Shu Yan, Journal of International Money and Finance 119, 102490.

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Portfolio Selection with Mental Accounts: An Equilibrium Model with Endogenous Risk Aversion, 2020, with Gordon J. Alexander and Shu Yan, Journal of Banking and Finance 110, 105599.

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Portfolio Selection with Mental Accounts and Estimation Risk, 2017, with Gordon J. Alexander and Shu Yan, Journal of Empirical Finance 41, 161–186.

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Portfolio Selection with Mental Accounts and Delegation, 2011, with Gordon J. Alexander, Journal of Banking and Finance 35, 2637–2656.

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Active Portfolio Management with Benchmarking: A Frontier Based on Alpha, 2010, with Gordon J. Alexander, Journal of Banking and Finance 34, 2185–2197.

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Reducing Estimation Risk in Optimal Portfolio Selection When Short Sales Are Allowed, 2009, with Gordon J. Alexander and Shu Yan, Managerial and Decision Economics 30, 281–305 [Lead Article].

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Stress Testing by Financial Intermediaries: Implications for Portfolio Selection and Asset Pricing, 2009, with Gordon J. Alexander, Journal of Financial Intermediation 18, 65–92.

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Optimal Delegated Portfolio Management with Background Risk, 2008, Journal of Banking and Finance 32, 977–985.

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Appendix (provides proofs of theoretical results in the paper)

Active Portfolio Management with Benchmarking: Adding a Value-at-Risk Constraint, 2008, with Gordon J. Alexander, Journal of Economic Dynamics and Control 32, 779–820.

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Mean-Variance Portfolio Selection with 'at-Risk' Constraints and Discrete Distributions, 2007, with Gordon J. Alexander and Shu Yan, Journal of Banking and Finance 31, 3761–3781.

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Appendix (provides proofs of theoretical results and describes the numerical procedure in the paper)

On the Non-Existence of Redundant Options, 2007, Economic Theory 31, 205–212 [Lead Article].

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Portfolio Selection with a Drawdown Constraint, 2006, with Gordon J. Alexander, Journal of Banking and Finance 30, 3171–3189.

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Appendix (provides proofs of the theoretical results in the paper)

Does the Basle Capital Accord Reduce Bank Fragility? An Assessment of the Value-at-Risk Approach, 2006, with Gordon J. Alexander, Journal of Monetary Economics 53, 1631–1660.

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Options and Efficiency in Multidate Security Markets, 2005, Mathematical Finance 15, 569–587.

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A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model, 2004, with Gordon J. Alexander, Management Science 50, 1261–1273.

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Appendix (provides additional results not contained in the paper)

Portfolio Performance Evaluation Using Value-at-Risk, 2003, with Gordon J. Alexander, Journal of Portfolio Management 29, 93–102.

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Spanning with American Options, 2003, Journal of Economic Theory 110, 264–289.

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Economic Implications of Using a Mean-VaR Model for Portfolio Selection: A Comparison with Mean-Variance Analysis, 2002, with Gordon J. Alexander, Journal of Economic Dynamics and Control 26, 1159–1193.

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A Note on the Rights Valuation Formula Commonly Presented in Finance Textbooks, 2001, with Gordon J. Alexander, Journal of Applied Finance 11, 102–109.

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