Alexandre Baptista
Alexandre Baptista
Associate Professor of Finance
Contact:
Email:
Alexandre Baptista
Office Phone:
(202) 994-3309
2201 G Street NW, Suite 501-S
Washington, DC 20052
Alexandre M. Baptista is an associate professor of finance at the George Washington University School of Business. He received his Licenciatura in Business Administration from ISCTE in Portugal (1995) and his Ph.D. in Finance from the University of Minnesota (2001).
His current research interests are in the areas of risk management, bank regulation, and portfolio theory. He has published articles in numerous academic journals including Economic Theory, Journal of Applied Finance, Journal of Banking and Finance, Journal of Economic Behavior and Organization, Journal of Economic Dynamics and Control, Journal of Economic Theory, Journal of Empirical Finance, Journal of Financial Intermediation, Journal of International Money and Finance, Journal of Monetary Economics, Journal of Money, Credit and Banking, Journal of Portfolio Management, Management Science, and Mathematical Finance. He received best paper awards at the Financial Management Association Meeting, Southern Finance Association Meeting (twice), and Australasian Finance and Banking Conference. Additionally, he received the Dean’s Research Scholar award (three times). He is currently on the Editorial Board of European Journal of Finance.
His current teaching interests are in the areas of investments and risk management. He received teaching awards at the George Washington University, the University of Arizona, and the University of Minnesota. He currently teaches courses in investments (undergraduate and graduate).
- Dean’s Excellence Award for Teaching, School of Business, The George Washington University (2020)
- Nominated to GARP Risk Management Award, European Financial Management Association Meeting (2015)
- Outstanding Paper Award in Financial Markets, Banking, and Institutions, Southern Finance Association Meeting (2013)
- Best Paper Award in Banking, Australasian Finance and Banking Conference (2012)
- Faculty Appreciation Lunch, Alpha Kappa Psi, the George Washington University (2012)
- Dean’s Scholar Award, The George Washington University (2009-2011, 2007-2009, 2005-2006)
- Nominated to Teaching Excellence Award, The George Washington University, School of Business (2008)
- Best Paper Award in Investments, Southern Finance Association Meeting (2007)
- Best Paper Award in Risk Management, Financial Management Association Meeting (2006)
- Nominated to Best Conference Paper Award, Portuguese Finance Network Conference (2004)
- Nominated to Don Wells Outstanding Faculty Mentor Award, University of Arizona (2003)
- Teacher Appreciation Dinner, Gamma Phi Beta Sorority, University of Arizona (2002)
- Teacher Appreciation Breakfast, Student Alumni Association, University of Arizona (2001)
- Excellence in Teaching Award, University of Minnesota (1999)
- Risk management
- Bank regulation
- Portfolio management
- Portfolio theory
- Asset pricing
My current working papers are in the areas of risk management, bank regulation, and portfolio theory.
One of these papers sheds light on the effectiveness (or lack thereof) of risk management systems and bank capital regulations in preventing banks from taking ‘excessive’ risks. Specifically, this paper examines regulatory changes in response to the 2007-09 crisis (i.e., the revised Basel framework and the Volcker Rule). Under certain conditions, the paper finds that such revisions are not a panacea.
Another paper assesses the performance of a portfolio selection model that incorporates mental accounting and estimation risk. Mental accounting arises when an investor divides his or her wealth among mental accounts. For each mental account, there is a unique motive (e.g., retirement and bequest) and optimal portfolio. Estimation risk is the risk of inaccurately estimating the optimization inputs for determining optimal portfolios. Under certain conditions, the paper finds that the model outperforms the traditional (mean-variance) portfolio selection model.
Ph.D., University of Minnesota, 2001
Licenciatura, Instituto Universitário de Lisboa (ISCTE), Portugal, 1995
Investment Analysis/Portfolio Management
- Alexander, G. J., Baptista, A. M., Yan, S. (2021). “Regulation of Bank Proprietary Trading Post 2007–09 Crisis: An Examination of the Basel Framework and Volcker Rule,” Journal of International Money and Finance, Volume 119, 102490.
- Alexander, G. J., Baptista, A. M., Yan, S. (2020). “Portfolio selection with mental accounts: An equilibrium model with endogenous risk aversion,” Journal of Banking and Finance 110, 105599.
- Alexander, G. J., Baptista, A. M. (2017). “Bank Capital Regulation of Trading Portfolios: An Assessment of the Basel Framework,”Journal of Money, Credit and Banking 49, 603–634.
- Alexander, G. J., Baptista, A. M., Yan, S. (2017). “Portfolio Selection with Mental Accounts and Estimation Risk,”Journal of Empirical Finance 41, 161–186.
- Alexander, G. J., Baptista, A. M., Yan, S. (2015). “On Regulatory Responses to the Recent Crisis: An Assessment of the Basel Market Risk Framework and the Volcker Rule,” Financial Markets, Institutions and Instruments 24, 87-125.
- Alexander, G. J., Baptista, A. M., Yan, S. (2014). “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 43, 107–130.
- Alexander, G. J., Baptista, A. M., Yan, S. (2013). “A Comparison of the Original and Revised Basel Market Risk Frameworks for Regulating Bank Capital,” Journal of Economic Behavior and Organization, 85, 249-268.
- Alexander, G. J., Baptista, A. M., Yan, S. (2012). “When More is Less: Using Multiple Constraints to Reduce Tail Risk,” Journal of Banking and Finance, 36, 2693-2716.
- Baptista, A. M. (2012). “Portfolio Selection with Mental Accounts and Background Risk,” Journal of Banking and Finance, 36, 968-980.
- Alexander, G. J., Baptista, A. M. (2011). “Portfolio Selection with Mental Accounts and Delegation,” Journal of Banking and Finance, 35, 2637-2656.
- Alexander, G. J., Baptista, A. M. (2010). “Active Portfolio Management with Benchmarking: A Frontier Based on Alpha,” Journal of Banking and Finance, 34, 2185-2197.
- Alexander, G. J., Baptista, A. M. (2009). “Stress Testing by Financial Intermediaries: Implications for Portfolio Selection and Asset Pricing,” Journal of Financial Intermediation, 18, 65-92.
- Baptista, A. M. (2008). “Optimal Delegated Portfolio Management with Background Risk,” Journal of Banking and Finance, 32, 977-985.
- Alexander, G. J., Baptista, A. M. (2008). “Active Portfolio Management with Benchmarking: Adding a Value-at-Risk Constraint,” Journal of Economic Dynamics and Control, 32, 779-820.
- Alexander, G. J., Baptista, A. M., Yan, S. (2007). “Mean-Variance Portfolio Selection with ‘at-Risk’ Constraints and Discrete Distributions,” Journal of Banking and Finance, 31, 3761-3781.
- Baptista, A. M. (2007). “On the Non-Existence of Redundant Options,” Economic Theory, 31, 205-212.
- Alexander, G. J., Baptista, A. M. (2006). “Does the Basle Capital Accord Reduce Bank Fragility? An Assessment of the Value-at-Risk Approach,” Journal of Monetary Economics, 53, 1631-1660.
- Baptista, A. M. (2005). “Options and Efficiency in Multidate Security Markets,” Mathematical Finance, 15, 569-587.
- Alexander, G. J., Baptista, A. M. (2004). “A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model,” Management Science, 50, 1261-1273.
- Alexander, G. J., Baptista, A. M. (2003). “Portfolio Performance Evaluation Using Value-at-Risk,” Journal of Portfolio Management, 29, 93-102.
- Baptista, A. M. (2003). “Spanning with American Options,” Journal of Economic Theory, 110, 264-289.
- Alexander, G. J., Baptista, A. M. (2002). “Economic Implications of Using a Mean-VaR Model for Portfolio Selection: A Comparison with Mean-Variance Analysis,” Journal of Economic Dynamics and Control, 26, 1159-1193.
Academic Positions
The George Washington University School of Business
- Associate Professor of Finance (2009-present)
- Assistant Professor of Finance (2003-2009)
University of Arizona
- Assistant Professor of Finance (2001-2003)
- Instructor of Finance (2000-2001)
University of Minnesota
- Instructor of Finance (1999)
Universidade Nova de Lisboa
- Instructor of Finance (1995-1996)
Editorial Positions
Editorial Boards
- European Journal of Finance (2005-present)
- Economic Theory (2007-2009)
Ad Hoc Reviewer
- Annals of Finance.
- Annals of Operations Research.
- Economic Modelling.
- Economic Theory.
- European Journal of Finance.
- Journal of Banking and Finance.
- Journal of Behavioral Finance.
- Journal of Business.
- Journal of Economic Dynamics and Control.
- Journal of Econometrics.
- Journal of Finance.
- Journal of Financial and Quantitative Analysis.
- Journal of Financial Services Research.
- Journal of Futures Markets.
- Journal of Multinational Financial Management.
- Journal of Public Economic Theory.
- Journal of Risk.
- Management Science.
- Mathematical Finance.
- Mathematical Methods of Operations Research.
- Mercatus.
- Portuguese Economic Journal.
- Operations Research Letters.
- Quantitative Finance.
- Quarterly Review of Economics and Finance.
- Review of Economic Dynamics.
- Review of Finance.
- Review of Financial Markets.
- Review of Financial Studies.