Alexandre M Baptista

Alexandre M Baptista

George Washington University - Washington / United States
Economics & Econometrics / Accounting & Finance
AD Scientific Index ID: 1409773
person_outline Alexandre M Baptista's MOST POPULAR ARTICLES
1-) Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysisGJ Alexander, AM BaptistaJournal of Economic Dynamics and Control 26 (7-8), 1159-1193, 20025332002
2-) A comparison of VaR and CVaR constraints on portfolio selection with the mean-variance modelGJ Alexander, AM BaptistaManagement science 50 (9), 1261-1273, 20044022004
3-) Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approachGJ Alexander, AM BaptistaJournal of Monetary Economics 53 (7), 1631-1660, 2006122*2006
4-) Portfolio performance evaluation using value at riskGJ Alexander, AM BaptistaThe Journal of Portfolio Management 29 (4), 93-102, 20031222003
5-) Active portfolio management with benchmarking: Adding a value-at-risk constraintGJ Alexander, AM BaptistaJournal of Economic Dynamics and Control 32 (3), 779-820, 20081032008