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Jaksa Cvitanic

Personal Details

First Name:Jaksa
Middle Name:
Last Name:Cvitanic
Suffix:
RePEc Short-ID:pcv1
http://www.hss.caltech.edu/~cvitanic

Affiliation

Division of Social Sciences
California Institute of Technology

Pasadena, California (United States)
http://www.hss.caltech.edu/research/social-sciences-research
RePEc:edi:dscalus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Books

Working papers

  1. Hugonnier, Julien & Cvitanic, Jaksa, 2018. "Optimal fund menus," CEPR Discussion Papers 13127, C.E.P.R. Discussion Papers.
  2. Cvitanić, Jakŝa & Xing, Hao, 2018. "Asset pricing under optimal contracts," LSE Research Online Documents on Economics 84952, London School of Economics and Political Science, LSE Library.
  3. Elena Asparouhova & Peter Bossaerts & Jernej Copic & Brad Cornell & Jaksa Cvitanic & Debrah Meloso, 2012. "Competition in Portfolio Management: Theory and Experiment," Working Papers 438, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  4. Jaksa Cvitanic & Elyès Jouini & Semyon Malamud & Clotilde Napp, 2012. "Financial Markets Equilibrium with Heterogeneous Agents," Post-Print halshs-00488537, HAL.
  5. Jaksa CVITANIC & Semyon MALAMUD, 2010. "Price Impact and Portfolio Impact," Swiss Finance Institute Research Paper Series 10-26, Swiss Finance Institute.
  6. Jaksa CVITANIC & Semyon MALAMUD, 2010. "Nonmyopic Optimal Portfolios in Viable Markets," Swiss Finance Institute Research Paper Series 10-42, Swiss Finance Institute.
  7. Jaksa CVITANIC & Semyon MALAMUD, 2009. "Equilibrium Driven by Discounted Dividend Volatility," Swiss Finance Institute Research Paper Series 09-34, Swiss Finance Institute.
  8. Jaksa CVITANIC & Semyon MALAMUD, 2009. "Asset Prices, Funds’ Size and PortfolioWeights in Equilibrium with Heterogeneous and Long-Lived Funds," Swiss Finance Institute Research Paper Series 09-03, Swiss Finance Institute.
  9. Ali Lazrak & Jaksa Cvitanic & Tan Wang, 2008. "Implications of Sharpe Ratio as a Performance Measure in Multi-Period Settings," Post-Print hal-00485697, HAL.
  10. Jaksa Cvitanic & Robert Liptser & Boris Rozovskii, 2005. "A filtering approach to tracking volatility from prices observed at random times," Papers math/0509503, arXiv.org.
  11. Jaksa Cvitanic & Levon Goukasian & Fernando Zapatero, 2000. "Monte Carlo Valuation of Optimal Portfolios in Complete Markets," Econometric Society World Congress 2000 Contributed Papers 1246, Econometric Society.
  12. Domenico Cuoco & Jaksa Cvitanic, "undated". "Optimal Consumption Choices for a "Large" Investor," Rodney L. White Center for Financial Research Working Papers 04-96, Wharton School Rodney L. White Center for Financial Research.

Articles

  1. Cvitanić, Jakša & Xing, Hao, 2018. "Asset pricing under optimal contracts," Journal of Economic Theory, Elsevier, vol. 173(C), pages 142-180.
  2. Jakša Cvitanić & Dylan Possamaï & Nizar Touzi, 2018. "Dynamic programming approach to principal–agent problems," Finance and Stochastics, Springer, vol. 22(1), pages 1-37, January.
  3. Jaksa Cvitanić & Walter Schachermayer & Hui Wang, 2017. "Erratum to: Utility maximization in incomplete markets with random endowment," Finance and Stochastics, Springer, vol. 21(3), pages 867-872, July.
  4. Jakša Cvitanić & George Georgiadis, 2016. "Achieving Efficiency in Dynamic Contribution Games," American Economic Journal: Microeconomics, American Economic Association, vol. 8(4), pages 309-342, November.
  5. Jakša Cvitanić & Charles Plott & Chien-Yao Tseng, 2015. "Markets with random lifetimes and private values: mean reversion and option to trade," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 38(1), pages 1-19, April.
  6. Elena Asparouhova & Peter Bossaerts & Jernej Čopič & Brad Cornell & Jakša Cvitanić & Debrah Meloso, 2015. "Competition in Portfolio Management: Theory and Experiment," Management Science, INFORMS, vol. 61(8), pages 1868-1888, August.
  7. Paul Brewer & Jaksa Cvitanic & Charles R. Plott, 2013. "Market microstructure design and flash crashes: A simulation approach," Journal of Applied Economics, Universidad del CEMA, vol. 16, pages 223-250, November.
  8. Jakša Cvitanić & Xuhu Wan & Huali Yang, 2013. "Dynamics of Contract Design with Screening," Management Science, INFORMS, vol. 59(5), pages 1229-1244, May.
  9. Cvitanic, Jaksa & Radas, Sonja & Sikic, Hrvoje, 2011. "Co-development ventures: Optimal time of entry and profit-sharing," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1710-1730, October.
  10. Jaksa Cvitanic & Elyès Jouini & Semyon Malamud & Clotilde Napp, 2011. "Financial Markets Equilibrium with Heterogeneous Agents," Review of Finance, European Finance Association, vol. 16(1), pages 285-321.
  11. Cvitanic, Jaksa & Malamud, Semyon, 2011. "Price impact and portfolio impact," Journal of Financial Economics, Elsevier, vol. 100(1), pages 201-225, April.
  12. Bradford Cornell & Jakša Cvitanić & Levon Goukasian, 2010. "Beliefs regarding fundamental value and optimal investing," Annals of Finance, Springer, vol. 6(1), pages 83-105, January.
  13. Cvitanic Jaksa & Malamud Semyon, 2010. "Relative Extinction of Heterogeneous Agents," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 10(1), pages 1-23, February.
  14. Agostino Capponi & Jakša Cvitanić, 2009. "Credit Risk Modeling With Misreporting And Incomplete Information," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(01), pages 83-112.
  15. Cvitanic, Jaksa & Lazrak, Ali & Wang, Tan, 2008. "Implications of the Sharpe ratio as a performance measure in multi-period settings," Journal of Economic Dynamics and Control, Elsevier, vol. 32(5), pages 1622-1649, May.
  16. Cvitanic Jaksa & Wan Xuhu & Zhang Jianfeng, 2008. "Principal-Agent Problems with Exit Options," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 8(1), pages 1-43, October.
  17. Jakša Cvitanić & Vassilis Polimenis & Fernando Zapatero, 2008. "Optimal portfolio allocation with higher moments," Annals of Finance, Springer, vol. 4(1), pages 1-28, January.
  18. Jakša Cvitanić & Zvi Wiener & Fernando Zapatero, 2008. "Analytic Pricing of Employee Stock Options," The Review of Financial Studies, Society for Financial Studies, vol. 21(2), pages 683-724, April.
  19. Cadenillas, Abel & Cvitanic, Jaksa & Zapatero, Fernando, 2007. "Optimal risk-sharing with effort and project choice," Journal of Economic Theory, Elsevier, vol. 133(1), pages 403-440, March.
  20. Jakša Cvitani'{c} & Levon Goukasian & Fernando Zapatero, 2007. "Optimal Risk Taking with Flexible Income," Management Science, INFORMS, vol. 53(10), pages 1594-1603, October.
  21. Cadenillas, Abel & Cvitanic, Jaksa & Zapatero, Fernando, 2004. "Leverage decision and manager compensation with choice of effort and volatility," Journal of Financial Economics, Elsevier, vol. 73(1), pages 71-92, July.
  22. J. Cvitanic & A. Lazrak & L. Martellini & F. Zapatero, 2003. "Optimal allocation to hedge funds: an empirical analysis," Quantitative Finance, Taylor & Francis Journals, vol. 3(1), pages 28-39.
  23. Cvitanic, Jaksa & Goukasian, Levon & Zapatero, Fernando, 2003. "Monte Carlo computation of optimal portfolios in complete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 971-986, April.
  24. Jaksa Cvitanić & Ali Lazrak & Marie Claire Quenez & Fernando Zapatero, 2001. "Incomplete Information With Recursive Preferences," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 4(02), pages 245-261.
  25. Cvitanic, Jaksa & Wang, Hui, 2001. "On optimal terminal wealth under transaction costs," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 223-231, April.
  26. (**), Hui Wang & Jaksa Cvitanic & (*), Walter Schachermayer, 2001. "Utility maximization in incomplete markets with random endowment," Finance and Stochastics, Springer, vol. 5(2), pages 259-272.
  27. HuyËn Pham & Nizar Touzi & Jaksa Cvitanic, 1999. "A closed-form solution to the problem of super-replication under transaction costs," Finance and Stochastics, Springer, vol. 3(1), pages 35-54.
  28. Jakša Cvitanić, 1999. "Methods of Partial Hedging," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 6(1), pages 7-35, January.
  29. Jakša Cvitanić, 1999. "Introduction," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 6(1), pages 1-2, January.
  30. Ioannis Karatzas & Jaksa Cvitanic, 1999. "On dynamic measures of risk," Finance and Stochastics, Springer, vol. 3(4), pages 451-482.
  31. Cuoco, Domenico & Cvitanic, Jaksa, 1998. "Optimal consumption choices for a 'large' investor," Journal of Economic Dynamics and Control, Elsevier, vol. 22(3), pages 401-436, March.
  32. Broadie, Mark & Cvitanic, Jaksa & Soner, H Mete, 1998. "Optimal Replication of Contingent Claims under Portfolio Constraints," The Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 59-79.

Books

  1. Jaksa Cvitanic & Fernando Zapatero, 2004. "Introduction to the Economics and Mathematics of Financial Markets," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262532654, April.
  2. Jouini,E. & Cvitanic,J. & Musiela,Marek (ed.), 2001. "Handbooks in Mathematical Finance," Cambridge Books, Cambridge University Press, number 9780521792370, September.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MIC: Microeconomics (2) 2018-09-24 2019-04-15
  2. NEP-CBE: Cognitive and Behavioural Economics (1) 2012-06-05
  3. NEP-EXP: Experimental Economics (1) 2012-06-05
  4. NEP-FMK: Financial Markets (1) 2018-09-24

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