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Details about Jaksa Cvitanic

E-mail:
Homepage:http://www.hss.caltech.edu/~cvitanic
Workplace:Division of Social Sciences, California Institute of Technology, (more information at EDIRC)

Access statistics for papers by Jaksa Cvitanic.

Last updated 2014-03-30. Update your information in the RePEc Author Service.

Short-id: pcv1


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Working Papers

2012

  1. Competition in Portfolio Management: Theory and Experiment
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads
  2. Financial Markets Equilibrium with Heterogeneous Agents
    Economics Papers from University Paris Dauphine, Paris Dauphine University View citations (2)
    Also in Post-Print, HAL (2012) Downloads View citations (8)

    See also Journal Article in Review of Finance (2011)

2010

  1. Price Impact and Portfolio Impact
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)
    See also Journal Article in Journal of Financial Economics (2011)

2005

  1. A filtering approach to tracking volatility from prices observed at random times
    Papers, arXiv.org Downloads View citations (2)

2000

  1. Monte Carlo Valuation of Optimal Portfolios in Complete Markets
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (1)

Undated

  1. Asset Prices, Funds’ Size and PortfolioWeights in Equilibrium with Heterogeneous and Long-Lived Funds
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
  2. Equilibrium Driven by Discounted Dividend Volatility
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (2)
  3. Nonmyopic Optimal Portfolios in Viable Markets
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
  4. 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 View citations (1)

    See also Journal Article in Journal of Economic Dynamics and Control (1998)

Journal Articles

2013

  1. Market microstructure design and flash crashes: A simulation approach
    Journal of Applied Economics, 2013, XVI, 223-250 Downloads

2011

  1. Co-development ventures: Optimal time of entry and profit-sharing
    Journal of Economic Dynamics and Control, 2011, 35, (10), 1710-1730 Downloads View citations (1)
  2. Financial Markets Equilibrium with Heterogeneous Agents
    Review of Finance, 2011, 16, (1), 285-321 Downloads View citations (1)
    See also Working Paper (2012)
  3. Price impact and portfolio impact
    Journal of Financial Economics, 2011, 100, (1), 201-225 Downloads View citations (3)
    See also Working Paper (2010)

2010

  1. Beliefs regarding fundamental value and optimal investing
    Annals of Finance, 2010, 6, (1), 83-105 Downloads View citations (2)
  2. Relative Extinction of Heterogeneous Agents
    The B.E. Journal of Theoretical Economics, 2010, 10, (1), 1-23 Downloads View citations (6)

2009

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

2008

  1. Analytic Pricing of Employee Stock Options
    Review of Financial Studies, 2008, 21, (2), 683-724 Downloads View citations (10)
  2. Implications of the Sharpe ratio as a performance measure in multi-period settings
    Journal of Economic Dynamics and Control, 2008, 32, (5), 1622-1649 Downloads View citations (4)
  3. Optimal portfolio allocation with higher moments
    Annals of Finance, 2008, 4, (1), 1-28 Downloads View citations (17)
  4. Principal-Agent Problems with Exit Options
    The B.E. Journal of Theoretical Economics, 2008, 8, (1), 1-43 Downloads View citations (7)

2007

  1. Optimal Risk Taking with Flexible Income
    Management Science, 2007, 53, (10), 1594-1603 Downloads View citations (1)
  2. Optimal risk-sharing with effort and project choice
    Journal of Economic Theory, 2007, 133, (1), 403-440 Downloads View citations (12)

2004

  1. Leverage decision and manager compensation with choice of effort and volatility
    Journal of Financial Economics, 2004, 73, (1), 71-92 Downloads View citations (27)

2003

  1. Monte Carlo computation of optimal portfolios in complete markets
    Journal of Economic Dynamics and Control, 2003, 27, (6), 971-986 Downloads View citations (9)
  2. Optimal allocation to hedge funds: an empirical analysis
    Quantitative Finance, 2003, 3, (1), 28-39 Downloads View citations (6)

2001

  1. On optimal terminal wealth under transaction costs
    Journal of Mathematical Economics, 2001, 35, (2), 223-231 Downloads View citations (17)
  2. Utility maximization in incomplete markets with random endowment
    Finance and Stochastics, 2001, 5, (2), 259-272 Downloads View citations (37)

1999

  1. Introduction
    Asia-Pacific Financial Markets, 1999, 6, (1), 1-2 Downloads
  2. Methods of Partial Hedging
    Asia-Pacific Financial Markets, 1999, 6, (1), 7-35 Downloads
  3. On dynamic measures of risk
    Finance and Stochastics, 1999, 3, (4), 451-482 Downloads View citations (25)

1998

  1. A closed-form solution to the problem of super-replication under transaction costs
    Finance and Stochastics, 1999, 3, (1), 35-54 Downloads View citations (9)
  2. Optimal Replication of Contingent Claims under Portfolio Constraints
    Review of Financial Studies, 1998, 11, (1), 59-79 View citations (14)
  3. Optimal consumption choices for a 'large' investor
    Journal of Economic Dynamics and Control, 1998, 22, (3), 401-436 Downloads View citations (14)
    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 (18)
 
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