Details about Jaksa Cvitanic

Access statistics for papers by Jaksa Cvitanic.

Last updated 2009-11-23. Update your information in the RePEc Author Service.

Short-id: pcv1

Working Papers

2005

1. A filtering approach to tracking volatility from prices observed at random times
   Quantitative Finance Papers, arXiv.org

2000

2. Monte Carlo Valuation of Optimal Portfolios in Complete Markets
   Econometric Society World Congress 2000 Contributed Papers, Econometric Society

Undated

3. Asset Prices, Funds’ Size and PortfolioWeights in Equilibrium with Heterogeneous and Long-Lived Funds
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
4. Equilibrium Driven by Discounted Dividend Volatility
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
5. Optimal Consumption Choices for a "Large" Investor
   Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
   Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
   See also Journal Article in Journal of Economic Dynamics and Control (1998)

Journal Articles

2010

1. Beliefs regarding fundamental value and optimal investing
   Annals of Finance, 2010, 6, (1), 83-105

2009

2. CREDIT RISK MODELING WITH MISREPORTING AND INCOMPLETE INFORMATION
   International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (01), 83-112

2008

3. Analytic Pricing of Employee Stock Options
   Review of Financial Studies, 2008, 21, (2), 683-724 View citations
4. Implications of the Sharpe ratio as a performance measure in multi-period settings
   Journal of Economic Dynamics and Control, 2008, 32, (5), 1622-1649 View citations
5. Optimal portfolio allocation with higher moments
   Annals of Finance, 2008, 4, (1), 1-28 View citations
6. Principal-Agent Problems with Exit Options
   The B.E. Journal of Theoretical Economics, 2008, 8, (1)

2007

7. Optimal risk-sharing with effort and project choice
   Journal of Economic Theory, 2007, 133, (1), 403-440 View citations

2004

8. Leverage decision and manager compensation with choice of effort and volatility
   Journal of Financial Economics, 2004, 73, (1), 71-92 View citations

2003

9. Monte Carlo computation of optimal portfolios in complete markets
   Journal of Economic Dynamics and Control, 2003, 27, (6), 971-986 View citations

2001

10. On optimal terminal wealth under transaction costs
    Journal of Mathematical Economics, 2001, 35, (2), 223-231 View citations
11. Utility maximization in incomplete markets with random endowment
    Finance and Stochastics, 2001, 5, (2), 259-272 View citations

1999

12. Introduction
    Asia-Pacific Financial Markets, 1999, 6, (1), 1-2
13. Methods of Partial Hedging
    Asia-Pacific Financial Markets, 1999, 6, (1), 7-35
14. On dynamic measures of risk
    Finance and Stochastics, 1999, 3, (4), 451-482 View citations

1998

15. A closed-form solution to the problem of super-replication under transaction costs
    Finance and Stochastics, 1999, 3, (1), 35-54 View citations
16. Optimal Replication of Contingent Claims under Portfolio Constraints
    Review of Financial Studies, 1998, 11, (1), 59-79 View citations
17. Optimal consumption choices for a 'large' investor
    Journal of Economic Dynamics and Control, 1998, 22, (3), 401-436 View citations
    See also Working Paper

Books

2004

1. Introduction to the Economics and Mathematics of Financial Markets, vol 1
   MIT Press Books, The MIT Press View citations