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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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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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Optimal delegated portfolio management with background risk
Baptista, Alexandre M. - In: Journal of banking & finance 32 (2008) 6, pp. 977-985
Persistent link: https://www.econbiz.de/10003733780
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Economic implications of using a mean-VaR model for portfolio selection : a comparison with mean-variance analysis
Alexander, Gordon J.; Baptista, Alexandre M. - In: Journal of economic dynamics & control 26 (2002) 7/8, pp. 1159-1193
Persistent link: https://www.econbiz.de/10001656074
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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