Details about Jaksa Cvitanic

Access statistics for papers by Jaksa Cvitanic.

Last updated 2019-05-28. Update your information in the RePEc Author Service.

Short-id: pcv1

Working Papers

2018

1. Asset pricing under optimal contracts
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (14)
   See also Journal Article Asset pricing under optimal contracts, Journal of Economic Theory, Elsevier (2018) View citations (14) (2018)
2. Optimal Fund Menus
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018)

2012

3. Competition in Portfolio Management: Theory and Experiment
   Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (1)
   See also Journal Article Competition in Portfolio Management: Theory and Experiment, Management Science, INFORMS (2015) View citations (5) (2015)
4. Financial Markets Equilibrium with Heterogeneous Agents
   Post-Print, HAL View citations (45)
   Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2009) View citations (3)
   See also Journal Article Financial Markets Equilibrium with Heterogeneous Agents, Review of Finance, European Finance Association (2011) View citations (16) (2011)

2010

5. Nonmyopic Optimal Portfolios in Viable Markets
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
6. Price Impact and Portfolio Impact
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   See also Journal Article Price impact and portfolio impact, Journal of Financial Economics, Elsevier (2011) View citations (16) (2011)

2009

7. Asset Prices, Funds’ Size and PortfolioWeights in Equilibrium with Heterogeneous and Long-Lived Funds
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
8. Equilibrium Driven by Discounted Dividend Volatility
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (4)

2008

9. Implications of Sharpe Ratio as a Performance Measure in Multi-Period Settings
   Post-Print, HAL View citations (8)
   See also Journal Article Implications of the Sharpe ratio as a performance measure in multi-period settings, Journal of Economic Dynamics and Control, Elsevier (2008) View citations (12) (2008)

2005

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

2000

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

Undated

12. 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 Optimal consumption choices for a 'large' investor, Journal of Economic Dynamics and Control, Elsevier (1998) View citations (39) (1998)

Journal Articles

2018

1. Asset pricing under optimal contracts
   Journal of Economic Theory, 2018, 173, (C), 142-180 View citations (14)
   See also Working Paper Asset pricing under optimal contracts, LSE Research Online Documents on Economics (2018) View citations (14) (2018)
2. Dynamic programming approach to principal–agent problems
   Finance and Stochastics, 2018, 22, (1), 1-37 View citations (56)

2017

3. Erratum to: Utility maximization in incomplete markets with random endowment
   Finance and Stochastics, 2017, 21, (3), 867-872 View citations (2)

2016

4. Achieving Efficiency in Dynamic Contribution Games
   American Economic Journal: Microeconomics, 2016, 8, (4), 309-42 View citations (13)

2015

5. Competition in Portfolio Management: Theory and Experiment
   Management Science, 2015, 61, (8), 1868-1888 View citations (5)
   See also Working Paper Competition in Portfolio Management: Theory and Experiment, Working Papers (2012) View citations (1) (2012)
6. Markets with random lifetimes and private values: mean reversion and option to trade
   Decisions in Economics and Finance, 2015, 38, (1), 1-19

2013

7. Dynamics of Contract Design with Screening
   Management Science, 2013, 59, (5), 1229-1244 View citations (18)
8. Market microstructure design and flash crashes: A simulation approach
   Journal of Applied Economics, 2013, 16, 223-250 View citations (17)

2011

9. Co-development ventures: Optimal time of entry and profit-sharing
   Journal of Economic Dynamics and Control, 2011, 35, (10), 1710-1730 View citations (7)
10. Financial Markets Equilibrium with Heterogeneous Agents
    Review of Finance, 2011, 16, (1), 285-321 View citations (16)
    See also Working Paper Financial Markets Equilibrium with Heterogeneous Agents, Post-Print (2012) View citations (45) (2012)
11. Price impact and portfolio impact
    Journal of Financial Economics, 2011, 100, (1), 201-225 View citations (16)
    See also Working Paper Price Impact and Portfolio Impact, Swiss Finance Institute Research Paper Series (2010) (2010)

2010

12. Beliefs regarding fundamental value and optimal investing
    Annals of Finance, 2010, 6, (1), 83-105 View citations (2)
13. Relative Extinction of Heterogeneous Agents
    The B.E. Journal of Theoretical Economics, 2010, 10, (1), 23 View citations (7)

2009

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

2008

15. Analytic Pricing of Employee Stock Options
    The Review of Financial Studies, 2008, 21, (2), 683-724 View citations (30)
16. 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 (12)
    See also Working Paper Implications of Sharpe Ratio as a Performance Measure in Multi-Period Settings, Post-Print (2008) View citations (8) (2008)
17. Optimal portfolio allocation with higher moments
    Annals of Finance, 2008, 4, (1), 1-28 View citations (42)
18. Principal-Agent Problems with Exit Options
    The B.E. Journal of Theoretical Economics, 2008, 8, (1), 43 View citations (18)

2007

19. Optimal Risk Taking with Flexible Income
    Management Science, 2007, 53, (10), 1594-1603 View citations (1)
20. Optimal risk-sharing with effort and project choice
    Journal of Economic Theory, 2007, 133, (1), 403-440 View citations (31)

2004

21. Leverage decision and manager compensation with choice of effort and volatility
    Journal of Financial Economics, 2004, 73, (1), 71-92 View citations (41)

2003

22. Monte Carlo computation of optimal portfolios in complete markets
    Journal of Economic Dynamics and Control, 2003, 27, (6), 971-986 View citations (32)
23. Optimal allocation to hedge funds: an empirical analysis
    Quantitative Finance, 2003, 3, (1), 28-39 View citations (9)

2001

24. INCOMPLETE INFORMATION WITH RECURSIVE PREFERENCES
    International Journal of Theoretical and Applied Finance (IJTAF), 2001, 04, (02), 245-261
25. On optimal terminal wealth under transaction costs
    Journal of Mathematical Economics, 2001, 35, (2), 223-231 View citations (29)
26. Utility maximization in incomplete markets with random endowment
    Finance and Stochastics, 2001, 5, (2), 259-272 View citations (81)

1999

27. Introduction
    Asia-Pacific Financial Markets, 1999, 6, (1), 1-2
28. Methods of Partial Hedging
    Asia-Pacific Financial Markets, 1999, 6, (1), 7-35 View citations (1)
29. On dynamic measures of risk
    Finance and Stochastics, 1999, 3, (4), 451-482 View citations (43)

1998

30. A closed-form solution to the problem of super-replication under transaction costs
    Finance and Stochastics, 1999, 3, (1), 35-54 View citations (9)
31. Optimal Replication of Contingent Claims under Portfolio Constraints
    The Review of Financial Studies, 1998, 11, (1), 59-79 View citations (42)
32. Optimal consumption choices for a 'large' investor
    Journal of Economic Dynamics and Control, 1998, 22, (3), 401-436 View citations (39)
    See also Working Paper Optimal Consumption Choices for a "Large" Investor, Rodney L. White Center for Financial Research Working Papers

Books

2004

1. Introduction to the Economics and Mathematics of Financial Markets, vol 1
   MIT Press Books, The MIT Press View citations (53)

Edited books

2001

1. Handbooks in Mathematical Finance
   Cambridge Books, Cambridge University Press View citations (49)