About

Gordon Alexander is an Emeritus Professor of Finance at the Carlson School of Management, University of Minnesota. He received his Bachelor of Science in Business Administration from the State University of New York-Buffalo in 1969, followed by a Master of Business Administration in Finance from the University of Michigan in 1970, a Master of Arts in Mathematics from the University of Michigan in 1973, and a PhD in Finance from the University of Michigan in 1975. His expertise lies in portfolio theory and management, with current research focusing on short selling, risk management, market microstructure, and mutual funds. Throughout his career, Alexander has held appointments as a Visiting Professor at prestigious institutions such as the Massachusetts Institute of Technology, the University of California-Los Angeles, and the University of Auckland. He has also served as an Academic Economic Fellow at the U.S. Securities and Exchange Commission. His scholarly contributions include co-authoring three books and publishing articles in numerous academic journals, including the Journal of Finance, the Review of Financial Studies, and the Journal of Financial Economics. He serves on the editorial boards of several finance journals and has held leadership roles such as president of the Midwest Finance Association and Vice-President of Financial Education at the Financial Management Association. In 2015, he received the Lifetime Achievement Award from the Midwest Finance Association.

Research topics

• Economics
• Financial economics
• Mathematics
• Microeconomics
• Econometrics
• Computer Science
• Algorithm
• Statistics
• Monetary economics
• Geometry

Selected publications

• A Correlation-Based Portfolio Choice Algorithm

  WORLD SCIENTIFIC eBooks · 2024

  Senior authorCorresponding
  • Computer Science
  • Computer Science
  • Algorithm

  Analyzing the correlation matrix of listed stocks, we identify “singletons” that table minimal cross-sectional correlations. Portfolios comprising 100–500 singletons all have lower betas and standard deviations and, correspondingly, higher average Sharpe and Treynor ratios than the Center for Research in Security Prices (CRSP) universe over the sample time period 1950–2017. Portfolios of singletons chosen from subsets of the CRSP universe, including small-value, low-variability, and momentum stocks, similarly realize lower portfolio standard deviations and higher risk-adjusted returns. These well-diversified portfolios suggest that the positive abnormal returns to low-beta portfolios are driven by their component stocks having low average cross-sectional correlation. One of the authors invested $20, 000 of his own money in the algorithm-chosen 240 stock singleton portfolio over a 4-year period (2015–2018) and beat the market year-by-year on a risk-adjusted basis just as our results predicted.

  PublisherDOI

• Regulation of bank proprietary trading post 2007–09 crisis: An examination of the Basel framework and Volcker rule

  Journal of International Money and Finance · 2021 · 7 citations

  1st authorCorresponding
  • Economics
  • Financial economics
  • Econometrics
  PublisherDOI

• Robert McNeill Alexander. 7 July 1934—21 March 2016

  Biographical Memoirs of Fellows of the Royal Society · 2021-12-22

  articleOpen access1st authorCorresponding

  Neill Alexander graduated in natural sciences at the University of Cambridge in 1955. After a PhD at Cambridge and a lecturership at the University College of North Wales in Bangor, he was appointed to the chair of the Department of Pure and Applied Zoology at the University of Leeds in 1969. At that stage, he switched his research interests abruptly from fishes to the mechanics of legged locomotion. He conducted experiments with a variety of mammals, calculating forces, stresses and strains in muscle fibres, bones and tendons. His speciality became the application of mathematical models to animal locomotion, including repurposing the Froude number, devised by the Victorian engineer William Froude (FRS 1870) for use with ships, to estimate the speed of dinosaurs based on the spacing of their fossil footprints. Subsequent work included modelling the optimization of mammal performance and the minimization of energy costs. In 1992, following an announcement that London Zoo would have to close as a result of shortage of funds, Neill was appointed secretary of the Zoological Society of London. During the period of his secretaryship, the Society's finances recovered, with both its zoos (London and Whipsnade) breaking even in 1993 and the Society returning a surplus in each subsequent year. Neill was awarded the CBE in 2000. The National Portrait Gallery holds his portrait by John Arnison.

  PublisherDOI

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

  SSRN Electronic Journal · 2021-11-01

  articleOpen access1st authorCorresponding

  In Das et al. (2010), an agent divides his or her wealth among mental accounts that have different goals and optimal portfolios. While the moments of the distribution of asset returns are exogenous in their normative model, they are endogenous in our corresponding positive model. We obtain the following results. First, there are multiple equilibria that we parameterize by the implied risk aversion coefficient of the agent’s aggregate portfolio. Second, equilibrium asset prices and the composition of optimal portfolios within accounts depend on this coefficient. Third, altering the goal of any given account affects the composition of each portfolio.

  Publisher

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

  SSRN Electronic Journal · 2021

  1st authorCorresponding
  • Economics
  • Financial economics
  • Econometrics

  In the aftermath of bank proprietary trading losses in the 2007–09 crisis, the Basel framework uses stressed Conditional Value-at-Risk to set minimum capital requirements for proprietary trading portfolios, whereas the Volcker rule restricts their composition in the US. With or without this rule, such requirements have the benefit of inducing a reduction in the risk of the optimal portfolio (measured by standard deviation) but at the cost of increasing its risk-to-minimum capital requirement ratio. As a hypothetical regulatory alternative, the proper use of standard deviation to set minimum capital requirements and circumvent pro-cyclicality improves upon the Basel framework and Volcker rule.

  Publisher

• The Pricing of Exchange Traded Funds and the Roles of Primary and Secondary Market Participants

  Quarterly Journal of Finance · 2020-09-01 · 4 citations

  article1st authorCorresponding

  We study the pricing of exchange traded funds (ETFs) and the associated arbitrage trading of them in the primary and secondary markets. We find a direct relation between primary and secondary market trading that is consistent with market-makers using the primary market to hedge their inventory risk in the secondary market, as well as to facilitate arbitrage. Such trading in both markets keeps ETF prices in line with their net asset value. We conclude that the existence of the primary market enhances secondary market efficiency.

  PublisherDOI

• Portfolio selection with mental accounts: An equilibrium model with endogenous risk aversion

  Journal of Banking & Finance · 2019-07-29 · 7 citations

  article1st authorCorresponding
  PublisherDOI

• Issue Information

  Clinical Pharmacology in Drug Development · 2019-10-01 · 1 citations

  paratextOpen access

  guidelines and best practices for paper use, establishing a vendor code of ethics, and engaging our colleagues and other stakeholders in our efforts.

  PublisherOA PDFDOI

• Determining fair value and maximum price in corporate acquisition (case study: Palm Oil Industry)

  IPTEK Journal of Proceedings Series · 2018-04-13

  articleOpen accessSenior author

  Acquisition is an act of taking over, in which negotiation may occur. Acquirer values target to determine the purchase price, based on existing condition of the target. This paper values the target with income approach on perspective of the acquirer. The approach applies financial model, estimating future income and cost of the target unto defined period. Net Present Value in free cash flow through the end of projected year is reflected as target value. On the other hand, maximum price acts as regards of the acquirer to point out the highest amount it could afford, yet still attaining positive return from the acquisition. This valuation is conducted in palm oil industry. Thus, the income and cost estimated are in regards to income and cost from oil palm plantation and palm oil mill. Value of the target is Rp. 249,518,452,138.67. The maximum purchase price applies similar cash flow to valuation, in addition to the expected purchase price in outflow component. Internal Rate of Return generated from this cash flow, in which is slightly above the required return, has the price as the maximum purchase price. It is accounted at Rp. 220,726,834,579.33.

  PublisherOA PDFDOI

• Portfolio Selection with Mental Accounts and Estimation Risk

  SSRN Electronic Journal · 2017-07-12

  articleOpen access1st authorCorresponding

  In Das, Markowitz, Scheid, and Statman (2010), an investor divides his or her wealth among mental accounts with short selling being allowed. For each account, there is a unique goal and optimal portfolio. Our paper complements theirs by considering estimation risk. We theoretically characterize the existence and composition of optimal portfolios within accounts. Based on simulated and empirical data, there is a wide range of account goals for which such portfolios notably outperform those selected with the mean-variance model for plausible risk aversion coefficients. When short selling is disallowed, the outperformance still typically holds but to a considerably lesser extent.

  Publisher

Frequent coauthors

• Alexandre M. Baptista

  George Washington University

  54 shared

• Shu Yan

  31 shared

• Peter J. Nigro

  Bryant University

  6 shared

• Mark A. Peterson

  Southern Illinois University Carbondale

  4 shared

• William F. Sharpe

  3 shared

• Jonathan D. Jones

  3 shared

• Bruce G. Resnick

  Wake Forest University

  2 shared

• Michael J. Stutzer

  2 shared

Education

• Ph.D., finance

  The University of Michigan

  1975

• M.S., mathematics

  The University of Michigan

  1973

Awards & honors

• Lifetime Achievement Award from the Midwest Finance Associat…
• Best Risk Management Paper, Financial Management Association…
• Best Market Microstructure Paper, Financial Management Assoc…
• Fulbright Fellowship (1989)
• Best Investments Paper, Midwest Finance Association (2012)