Gordon J. Alexander

University of Minnesota - Twin Cities - Carlson School of Management

John Spooner Chair in Investment Management

19th Avenue South

Minneapolis, MN 55455

United States

  • University of Minnesota - Twin Cities - Carlson School of Management

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    • Tel: 612-624-8598
    • Fax: 612-624-1335
SCHOLARLY PAPERS

29

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49

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9

Scholarly Papers (29)

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1.

Does Motivation Matter When Assessing Trade Performance? An Analysis of Mutual Funds

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Does Motivation Matter When Assessing Trade Performance? An Analysis of Mutual Funds

AFA 2005 Philadelphia Meetings Paper
Number of pages: 45 Posted: 30 Dec 2004
Gordon J. Alexander, Gjergji Cici and Scott Gibson
University of Minnesota - Twin Cities - Carlson School of Management, University of Kansas - School of Business and College of William and Mary - Mason School of Business
Downloads 2,005 (15,504)
Citation 29

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Does Motivation Matter When Assessing Trade Performance? An Analysis of Mutual Funds

The Review of Financial Studies, Vol. 20, Issue 1, pp. 125-150, 2007
Posted: 29 Feb 2008
Gordon J. Alexander, Gjergji Cici and Scott Gibson
University of Minnesota - Twin Cities - Carlson School of Management, University of Kansas - School of Business and Arizona State University (ASU)

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2.

Cvar as a Measure of Risk: Implications for Portfolio Selection

Number of pages: 34 Posted: 21 Jul 2003
Gordon J. Alexander and Alexandre M. Baptista
University of Minnesota - Twin Cities - Carlson School of Management and George Washington University - School of Business
Downloads 1,494 (24,960)
Citation 6

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VaR, CVaR, Risk Management, Portfolio Choice

3.

A Var-Constrained Mean-Variance Model: Implications for Portfolio Selection and the Basle Capital Accord.

Number of pages: 45 Posted: 04 Jul 2001
Gordon J. Alexander and Alexandre M. Baptista
University of Minnesota - Twin Cities - Carlson School of Management and George Washington University - School of Business
Downloads 942 (48,504)
Citation 2

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4.

Conditional Expected Loss as a Measure of Risk: Implications for Portfolio Selection

Number of pages: 41 Posted: 11 Mar 2002
Alexandre M. Baptista and Gordon J. Alexander
George Washington University - School of Business and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 780 (62,792)
Citation 1

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Conditional Expected Loss, VaR, Risk Management, Portfolio Choice

5.

Bank Regulation and Stability: An Examination of the Basel Market Risk Framework

Bundesbank Discussion Paper No. 09/2012
Number of pages: 56 Posted: 21 Jun 2016
Gordon J. Alexander, Alexandre M. Baptista and Shu Yan
University of Minnesota - Twin Cities - Carlson School of Management, George Washington University - School of Business and University of South Carolina
Downloads 80 (583,072)

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Bank regulation, bank stability, Basel framework, crisis, tail risk

6.

Regulation of Bank Proprietary Trading Post 2007–09 Crisis: An Examination of the Basel Framework and Volcker Rule

Journal of International Money and Finance, December 2021, Volume 119, 102490
Posted: 03 Nov 2021
Gordon J. Alexander, Alexandre M. Baptista and Shu Yan
University of Minnesota - Twin Cities - Carlson School of Management, George Washington University - School of Business and Oklahoma State University - Stillwater - Department of Finance

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Post-crisis bank regulation, Proprietary trading, Basel framework, Volcker rule, Pro-cyclicality

7.

Portfolio Selection with Mental Accounts: An Equilibrium Model with Endogenous Risk Aversion

Journal of Banking and Finance, 2020, Vol. 110, 105599
Posted: 03 Nov 2021
Gordon J. Alexander, Alexandre M. Baptista and Shu Yan
University of Minnesota - Twin Cities - Carlson School of Management, George Washington University - School of Business and Oklahoma State University - Stillwater - Department of Finance

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Portfolio selection, Mental accounts, Equilibrium, Endogenous risk aversion, Behavioral finance, Mean-variance model

8.

Bank Capital Regulation of Trading Portfolios: An Assessment of the Basel Framework

Journal of Money, Credit, and Banking, Vol. 49, No. 4, pp. 603-634, June 2017
Posted: 18 Jul 2017
Gordon J. Alexander and Alexandre M. Baptista
University of Minnesota - Twin Cities - Carlson School of Management and George Washington University - School of Business

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bank capital regulation, trading portfolios, Basel framework, risk

9.

A Comparison of the Original and Revised Basel Market Risk Frameworks for Regulating Bank Capital

Journal of Economic Behavior and Organization, Vol. 85, pp. 249-268, , January 2013
Posted: 18 Jul 2017
Gordon J. Alexander, Alexandre M. Baptista and Shu Yan
University of Minnesota - Twin Cities - Carlson School of Management, George Washington University - School of Business and Oklahoma State University - Stillwater - Department of Finance

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Bank regulation, Risk management, Basel framework, Tail risk

10.

Bank Regulation and International Financial Stability: A Case Against the 2006 Basel Framework for Controlling Tail Risk in Trading Books

Journal of International Money and Finance, Vol. 43, pp. 107-130, May 2014
Posted: 18 Jul 2017
Gordon J. Alexander, Alexandre M. Baptista and Shu Yan
University of Minnesota - Twin Cities - Carlson School of Management, George Washington University - School of Business and Oklahoma State University - Stillwater - Department of Finance

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Bank regulation, Financial stability, Basel framework, Financial crisis, Tail risk

11.

Portfolio Selection with Mental Accounts and Estimation Risk

Journal of Empirical Finance, Vol. 41, pp. 161-186, March 2017
Posted: 18 Jul 2017
Gordon J. Alexander, Alexandre M. Baptista and Shu Yan
University of Minnesota - Twin Cities - Carlson School of Management, George Washington University - School of Business and Oklahoma State University - Stillwater - Department of Finance

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Portfolio selection, Mental accounts, Estimation risk, Behavioral finance

12.

Portfolio Selection with Mental Accounts and Delegation

Journal of Banking and Finance, Vol. 35, No. 10, pp. 2637-2656, October 2011
Posted: 18 Feb 2012
Gordon J. Alexander and Alexandre M. Baptista
University of Minnesota - Twin Cities - Carlson School of Management and George Washington University - School of Business

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Portfolio selection, Mental accounts, Delegation, Benchmarking, Behavioral finance

13.

Active Portfolio Management with Benchmarking: A Frontier Based on Alpha

Journal of Banking and Finance, Vol. 34, No. 9, pp. 2185-2197, September 2010
Posted: 07 Aug 2010
Gordon J. Alexander and Alexandre M. Baptista
University of Minnesota - Twin Cities - Carlson School of Management and George Washington University - School of Business

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Active portfolio management, Benchmarking, Alpha, Tracking error, Risk management

14.

Stress Testing by Financial Intermediaries: Implications for Portfolio Selection and Asset Pricing

Journal of Financial Intermediation, Vol. 18, No. 1, pp. 65-92, January 2009
Posted: 05 Sep 2008 Last Revised: 13 Jan 2009
Gordon J. Alexander and Alexandre M. Baptista
University of Minnesota - Twin Cities - Carlson School of Management and George Washington University - School of Business

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Stress testing, Financial intermediaries, Portfolio selection, Asset pricing, Idiosyncratic returns, Risk management, Regulation

15.

Reducing Estimation Risk in Optimal Portfolio Selection When Short Sales are Allowed

Managerial and Decision Economics, Vol. 30, No. 5, pp. 281-305, July 2009
Posted: 05 Sep 2008 Last Revised: 30 Jun 2009
Gordon J. Alexander, Alexandre M. Baptista and Shu Yan
University of Minnesota - Twin Cities - Carlson School of Management, George Washington University - School of Business and Oklahoma State University - Stillwater - Department of Finance

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Estimation Risk, Portfolio Selection, Short Sales, VaR, Risk Management

16.

Active Portfolio Management with Benchmarking: Adding a Value-at-Risk Constraint

Journal of Economic Dynamics and Control, Vol. 32, No. 3, pp. 779-820, March 2008
Posted: 01 Apr 2007 Last Revised: 04 Mar 2008
Gordon J. Alexander and Alexandre M. Baptista
University of Minnesota - Twin Cities - Carlson School of Management and George Washington University - School of Business

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Benchmarking, VaR, Tracking error, Portfolio choice, Risk management

17.

Mean-Variance Portfolio Selection With 'At-Risk' Constraints and Discrete Distributions

Journal of Banking and Finance, Vol. 31, No. 12, pp. 3761-3781, December 2007
Posted: 01 Apr 2007 Last Revised: 05 Sep 2008
Gordon J. Alexander, Alexandre M. Baptista and Shu Yan
University of Minnesota - Twin Cities - Carlson School of Management, George Washington University - School of Business and Oklahoma State University - Stillwater - Department of Finance

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Value-at-risk, Conditional value-at-risk, Portfolio selection, Discrete distributions

18.

Portfolio Performance Evaluation Using Value at Risk

Journal of Portfolio Management, Vol. 29, pp. 93-102, Summer 2003
Posted: 16 Oct 2006
Gordon J. Alexander and Alexandre M. Baptista
University of Minnesota - Twin Cities - Carlson School of Management and George Washington University - School of Business

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Value-at-risk (VaR), portfolio performance

19.

Does the Basle Capital Accord Reduce Bank Fragility? An Assessment of the Value-at-Risk Approach

Journal of Monetary Economics, Vol. 53, No. 7, pp. 1631-1660, October 2006
Posted: 16 Oct 2006
Gordon J. Alexander and Alexandre M. Baptista
University of Minnesota - Twin Cities - Carlson School of Management and George Washington University - School of Business

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Bank regulation, VaR, Portfolio choice, Risk management

20.

A Comparison of VAR and Cvar Constraints on Portfolio Selection with the Mean-Variance Model

Management Science, Vol. 50, No. 9, pp. 1261-1273, September 2004
Posted: 12 Oct 2006
Gordon J. Alexander and Alexandre M. Baptista
University of Minnesota - Twin Cities - Carlson School of Management and George Washington University - School of Business

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value-at-risk (VaR), conditional value-at-risk (CVaR), risk management, portfolio choice

21.

Portfolio Selection With a Drawdown Constraint

Journal of Banking and Finance, Vol. 30, No. 11, pp. 3171-3189, November 2006
Posted: 12 Oct 2006
Gordon J. Alexander and Alexandre M. Baptista
University of Minnesota - Twin Cities - Carlson School of Management and George Washington University - School of Business

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Portfolio selection, Maximum drawdown, Risk management

22.

(How) Does the Uptick Rule Constrain Short Selling?

Posted: 17 Mar 2006
Gordon J. Alexander and Mark A. Peterson
University of Minnesota - Twin Cities - Carlson School of Management and Southern Illinois University - Department of Finance

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Short selling, uptick rule, Regulation SHO

23.

Economic Implications of Using a Mean-VaR Model for Portfolio Selection: A Comparison With Mean-Variance Analysis

Journal of Economic Dynamics & Control, Vol. 26, No. 7-8, pp. 1159-1193, July 2002
Posted: 09 May 2002
Gordon J. Alexander and Alexandre M. Baptista
University of Minnesota - Twin Cities - Carlson School of Management and George Washington University - School of Business

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Portfolio Choice, VaR, Risk Management and Control, Asset Pricing

24.

A Note on the Rights Valuation Formula Commonly Presented in Finance Textbooks

Journal of Applied Finance, Vol. 11, pp. 102-109, 2001
Posted: 03 Jan 2002
Gordon J. Alexander and Alexandre M. Baptista
University of Minnesota - Twin Cities - Carlson School of Management and George Washington University - School of Business

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25.

Implications of a Reduction in Tick Size on Short-Sell Order Execution

Posted: 09 Dec 2001
Gordon J. Alexander and Mark A. Peterson
University of Minnesota - Twin Cities - Carlson School of Management and Southern Illinois University - Department of Finance

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26.

On Back-Testing "Zero-Investment" Strategies

Posted: 25 Feb 2000
Gordon J. Alexander
University of Minnesota - Twin Cities - Carlson School of Management

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27.

What Does Nasdaq's High-Yield Bond Market Reveal About Bondholder-Stockholder Conflicts?

Financial Management, Vol. 29, No. 1, 2000
Posted: 06 Dec 1999 Last Revised: 11 May 2009
Gordon J. Alexander, Amy K. Edwards and Michael G. Ferri
University of Minnesota - Twin Cities - Carlson School of Management, Securities and Exchange Commission (SEC) and George Mason University

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28.

Short Selling on the New York Stock Exchange and the Effects of the Uptick Rule

Posted: 28 Jan 1999
Gordon J. Alexander and Mark A. Peterson
University of Minnesota - Twin Cities - Carlson School of Management and Southern Illinois University - Department of Finance

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29.

The Determinants of Trading Volume of High-Yield Corporate Bonds

Journal of Financial Markets, Vol. 3, No. 2, 2000
Posted: 25 Sep 1998 Last Revised: 27 Dec 2007
Gordon J. Alexander, Amy K. Edwards and Michael G. Ferri
University of Minnesota - Twin Cities - Carlson School of Management, Securities and Exchange Commission (SEC) and George Mason University

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