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Title: Associate Professor of Finance
Address: Funger Hall, Suite 501S
Phone: (202) 994-3309
Curriculum vitae: CV
Web page: http://home.gwu.edu/~alexbapt/
Degrees: Ph.D. in Finance, University of Minnesota, 2001
Licenciatura, ISCTE, Portugal, 1995
Area of Expertise: Portfolio Theory, Risk Management, Asset Pricing
Publications: On the Non-Existence of Redundant Options, 2007, Economic Theory 31, 205-212.
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.
Options and Efficiency in Multidate Security Markets, 2005, Mathematical Finance 15, 569-587.
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.
Spanning with American Options, 2003, Journal of Economic Theory 110, 264-289.
Editorial Positions: Member of the Editorial Board of Economic Theory and European Journal of Finance.
Professional Activities: Referee for numerous journals, including Economic Theory, Journal of Business, Journal of Economic Dynamics and Control, Journal of Finance, Management Science, and Review of Financial Studies.
Current Research: Value-at-Risk, Stress Testing, Estimation Risk, Portfolio Theory, Asset Pricing Theory
Grants: Dean’s Scholar (2005-2006 and 2007-2009)