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Stress testing by financial intermediaries : implications for portfolio selection and asset pricing
Alexander, Gordon J.; Baptista, Alexandre M. - In: Journal of financial intermediation 18 (2009) 1, pp. 65-92
Persistent link: https://www.econbiz.de/10003813182
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Reducing estimation risk in optimal portfolio selection when short sales are allowed
Alexander, Gordon J.; Baptista, Alexandre M.; Yan, Shu - In: Managerial and decision economics : MDE ; the … 30 (2009) 5, pp. 281-305
Persistent link: https://www.econbiz.de/10003869912
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From Markowitz to modern risk management
Alexander, Gordon J. - In: The European journal of finance 15 (2009) 5/6, pp. 451-461
Persistent link: https://www.econbiz.de/10003886390
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Active portfolio management with benchmarking : adding a value-at-risk constraint
Alexander, Gordon J.; Baptista, Alexandre M. - In: Journal of economic dynamics & control 32 (2008) 3, pp. 779-820
Persistent link: https://www.econbiz.de/10003687449
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Active portfolio management with benchmarking : a frontier based on alpha
Alexander, Gordon J.; Baptista, Alexandre M. - In: Journal of banking & finance 34 (2010) 9, pp. 2185-2197
Persistent link: https://www.econbiz.de/10008737950
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Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach
Alexander, Gordon J.; Baptista, Alexandre M. - In: Journal of monetary economics 53 (2006) 7, pp. 1631-1660
Persistent link: https://www.econbiz.de/10003381921
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Portfolio selection with a drawdown constraint
Alexander, Gordon J.; Baptista, Alexandre M. - In: Journal of banking & finance 30 (2006) 11, pp. 3171-3189
Persistent link: https://www.econbiz.de/10003386441
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A comparison of the original and revised Basel market risk frameworks for regulating bank capital
Alexander, Gordon J.; Baptista, Alexandre M.; Yan, Shu - In: Journal of economic behavior & organization : JEBO 85 (2013) 1, pp. 249-268
Persistent link: https://www.econbiz.de/10009708765
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Portfolio selection with mental accounts : an equilibrium model with endogenous risk aversion
Alexander, Gordon J.; Baptista, Alexandre M.; Yan, Shu - In: Journal of banking & finance 110 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012225005
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Portfolio selection with mental accounts and estimation risk
Alexander, Gordon J.; Baptista, Alexandre M.; Yan, Shu - In: Journal of empirical finance 41 (2017), pp. 161-186
Persistent link: https://www.econbiz.de/10011746971