Jaksa Cvitanic : Citation Profile


Are you Jaksa Cvitanic?

California Institute of Technology

15

H index

19

i10 index

693

Citations

RESEARCH PRODUCTION:

32

Articles

15

Papers

1

Books

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   22 years (1996 - 2018). See details.
   Cites by year: 31
   Journals where Jaksa Cvitanic has often published
   Relations with other researchers
   Recent citing documents: 86.    Total self citations: 11 (1.56 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pcv1
   Updated: 2022-11-19    RAS profile: 2019-05-28    
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Relations with other researchers


Works with:

Hugonnier, Julien (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Jaksa Cvitanic.

Is cited by:

Basak, Suleyman (18)

Dindo, Pietro (10)

Siu, Tak Kuen (6)

Pelsser, Antoon (6)

lioui, abraham (6)

Jouini, Elyès (6)

Shi, Lei (5)

He, Xuezhong (Tony) (5)

Makarov, Dmitry (5)

Bottazzi, Giulio (5)

Prigent, Jean-Luc (5)

Cites to:

merton, robert (9)

OU-YANG, HUI (7)

Holmstrom, Bengt (6)

Biais, Bruno (6)

Milgrom, Paul (6)

Carr, Peter (6)

Campbell, John (6)

Fama, Eugene (5)

Duffie, Darrell (5)

Foucault, Thierry (5)

Viceira, Luis (5)

Main data


Where Jaksa Cvitanic has published?


Journals with more than one article published# docs
Finance and Stochastics5
Journal of Economic Dynamics and Control4
Management Science3
Journal of Economic Theory2
Annals of Finance2
The B.E. Journal of Theoretical Economics2
International Journal of Theoretical and Applied Finance (IJTAF)2
Review of Financial Studies2
Asia-Pacific Financial Markets2
Journal of Financial Economics2

Working Papers Series with more than one paper published# docs
Swiss Finance Institute Research Paper Series / Swiss Finance Institute6
Post-Print / HAL2

Recent works citing Jaksa Cvitanic (2022 and 2021)


YearTitle of citing document
2022Optimal investment with time-varying stochastic endowments. (2014). Chen, AN ; Stelzer, Robert ; Mereu, Carla . In: Papers. RePEc:arx:papers:1406.6245.

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2021Explicit description of all deflators for markets under random horizon. (2018). Yansori, Sina ; Choulli, Tahir. In: Papers. RePEc:arx:papers:1803.10128.

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2021Robust Contracting in General Contract Spaces. (2019). Horst, Ulrich ; Beissner, Patrick ; Backhoff-Veraguas, Julio. In: Papers. RePEc:arx:papers:1910.12516.

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2022Random horizon principal-agent problem. (2020). Yang, Junjian ; Touzi, Nizar ; Ren, Zhenjie ; Lin, Yiqing. In: Papers. RePEc:arx:papers:2002.10982.

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2021Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents. (2020). Possamai, Dylan ; Hern, Camilo. In: Papers. RePEc:arx:papers:2002.12572.

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2021Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets. (2020). Scaillet, Olivier ; Shen, Yiwen. In: Papers. RePEc:arx:papers:2004.10096.

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2021Teamwise Mean Field Competitions. (2020). Zhang, Yuchong ; Yu, Xiang ; Zhou, Zhou. In: Papers. RePEc:arx:papers:2006.14472.

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2022Is there a Golden Parachute in Sannikovs principal-agent problem?. (2020). Touzi, Nizar ; Possamai, Dylan. In: Papers. RePEc:arx:papers:2007.05529.

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2022Incentives, lockdown, and testing: from Thucydidess analysis to the COVID-19 pandemic. (2020). Warin, Xavier ; Possamai, Dylan ; Mastrolia, Thibaut ; Hubert, Emma. In: Papers. RePEc:arx:papers:2009.00484.

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2021Duality and deep learning for optimal consumption with randomly terminating income. (2020). Monoyios, Michael ; Davey, Ashley ; Zheng, Harry. In: Papers. RePEc:arx:papers:2011.00732.

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2021Governmental incentives for green bonds investment. (2021). Possamai, Dylan ; Baldacci, Bastien. In: Papers. RePEc:arx:papers:2101.00648.

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2021A Class of Explicit optimal contracts in the face of shutdown. (2021). Villeneuve, St'Ephane ; Martin, Jessica. In: Papers. RePEc:arx:papers:2102.00001.

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2021Policy with stochastic hysteresis. (2021). Riabov, Georgii ; Tsyvinski, Aleh. In: Papers. RePEc:arx:papers:2104.10225.

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2021Hedging Goals. (2021). Krabichler, Thomas ; Wunsch, Marcus. In: Papers. RePEc:arx:papers:2105.07915.

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2021Market Complete Option Valuation using a Jarrow-Rudd Pricing Tree with Skewness and Kurtosis. (2021). Rachev, Svetlozar T ; Fabozzi, Frank J ; Lindquist, Brent W ; Shirvani, Abootaleb ; Hu, Yuan. In: Papers. RePEc:arx:papers:2106.09128.

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2021Deep Learning for Mean Field Games and Mean Field Control with Applications to Finance. (2021). Lauriere, Mathieu ; Ren'e Carmona, . In: Papers. RePEc:arx:papers:2107.04568.

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2021Moral Hazard, Dynamic Incentives, and Ambiguous Perceptions. (2021). Dumav, Martin. In: Papers. RePEc:arx:papers:2110.15229.

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2021Risk measures beyond frictionless markets. (2021). Munari, Cosimo ; Arduca, Maria. In: Papers. RePEc:arx:papers:2111.08294.

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2022Principal agent mean field games in REC markets. (2021). Jaimungal, Sebastian ; Firoozi, Dena ; Shrivats, Arvind. In: Papers. RePEc:arx:papers:2112.11963.

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2022Log-optimal portfolio after a random time: Existence, description and sensitivity analysis. (2022). Choulli, Tahir ; Alharbi, Ferdoos. In: Papers. RePEc:arx:papers:2204.03798.

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2022Optimal brokerage contracts in Almgren-Chriss model with multiple clients. (2022). Webster, Kevin ; Nadtochiy, Sergey ; Alvarez, Guillermo Alonso. In: Papers. RePEc:arx:papers:2204.05403.

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2022Gaussian Agency problems with memory and Linear Contracts. (2022). Villeneuve, St'Ephane ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2209.10878.

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2022On Robustness of Double Linear Trading with Transaction Costs. (2022). Hsieh, Chung-Han. In: Papers. RePEc:arx:papers:2209.12383.

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2022Evaluating the Impacts of Passengers’ Rights Policy on the Competitiveness of Airlines and Airport Operators Using the Dynamic Programming Approach. (2022). Garkova, Veronika ; Nikolova, Christina. In: Economic Studies journal. RePEc:bas:econst:y:2022:i:1:p:94-117.

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2021Heterogeneous preferences, investment, and asset pricing. (2021). Mu, Congming ; Lu, Lei ; Liu, BO ; Yang, Jinqiang. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:4:p:1169-1193.

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2021Optimal make–take fees for market making regulation. (2021). Rosenbaum, Mathieu ; Mastrolia, Thibaut ; el Euch, Omar ; Touzi, Nizar. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:1:p:109-148.

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2021Mean–field moral hazard for optimal energy demand response management. (2021). Mastrolia, Thibaut ; Hubert, Emma ; Elie, Romuald ; Possamai, Dylan. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:1:p:399-473.

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2021Duality for optimal consumption with randomly terminating income. (2021). Zheng, Harry ; Monoyios, Michael ; Davey, Ashley. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:4:p:1275-1314.

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2022Optimal fund menus. (2022). Hugonnier, Julien ; Cvitani, Jaka. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:2:p:455-516.

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2021Salesforce Compensation and Two?Sided Ambiguity: Robust Moral Hazard with Moment Information. (2021). Kirshner, Samuel N ; Li, Zhaolin. In: Production and Operations Management. RePEc:bla:popmgt:v:30:y:2021:i:9:p:2944-2961.

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2021Discretization and machine learning approximation of BSDEs with a constraint on the Gains-process. (2021). Xavier, Warin ; Thomas, Lim ; Idris, Kharroubi . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:27:y:2021:i:1:p:27-55:n:1.

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2021Fiscal Deficits, Bank Credit Risk, and Loan-Loss Provisions. (2021). Gurgel, Felipe Bastos. In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:56:y:2021:i:5:p:1537-1589_2.

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2022Central moments, stochastic dominance, moment rule, and diversification with an application. (2022). Wong, Wing-Keung ; Guo, XU ; Chow, Sheung-Chi ; Chan, Raymond H. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:161:y:2022:i:c:s0960077922004611.

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2022Competition and equilibrium effort choice. (2022). Xu, Jing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:137:y:2022:i:c:s0165188922000367.

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2022Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis. (2022). Fabozzi, Frank J ; Shirvani, Abootaleb ; Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:137:y:2022:i:c:s0165188922000501.

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2022Dynamic asset pricing in delegated investment: An investigation from the perspective of heterogeneous beliefs of institutional and retail investors. (2022). Yang, Jun ; Bian, Yun ; Xu, SI ; Sheng, Jiliang. In: Economic Modelling. RePEc:eee:ecmode:v:107:y:2022:i:c:s0264999321003059.

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2021The values and incentive effects of options on the maximum or the minimum of the stock prices and market index. (2021). Wang, Xingchun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302345.

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2021A study on the incentive compensation structure with payroll tax: A continuous-time principal-agent model. (2021). Lai, Shaoyong ; Wang, Huan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001091.

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2022Price impact, strategic interaction and portfolio choice. (2022). Curatola, Giuliano. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001959.

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2022Near-optimal asset allocation in financial markets with trading constraints. (2022). Pelsser, Antoon ; Kamma, Thijs. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:2:p:766-781.

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2021Early refund bonuses increase successful crowdfunding. (2021). Tabarrok, Alexander ; Cason, Timothy ; Zubrickas, Robertas. In: Games and Economic Behavior. RePEc:eee:gamebe:v:129:y:2021:i:c:p:78-95.

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2021Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market. (2021). Li, Shuanming ; Jin, Zhuo ; Liu, Guo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:508-524.

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2021Dynamic resource allocation with hidden volatility. (2021). Westerfield, Mark M ; Feng, Felix Zhiyu. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:2:p:560-581.

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2021Asset pricing with index investing. (2021). Rytchkov, Oleg ; Chabakauri, Georgy. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:1:p:195-216.

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2021Mispricing, short-sale constraints, and the cross-section of option returns. (2021). Tayal, Jitendra ; Ramachandran, Lakshmi Shankar. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:1:p:297-321.

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2022Drift criteria for persistence of discrete stochastic processes on the line. (2022). Dindo, Pietro ; Bottazzi, Giulio. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:101:y:2022:i:c:s0304406822000465.

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2021Identifying the fair value of Sharpe ratio by an option valuation approach. (2021). Li, Xiu-Yan ; Lu, Jin-Ray. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:82:y:2021:i:c:p:63-70.

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2022Quadratic G-BSDEs with convex generators and unbounded terminal conditions. (2022). Tang, Shanjian ; Wang, Falei ; Hu, Ying. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:153:y:2022:i:c:p:363-390.

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2021Volatility, valuation ratios, and bubbles: an empirical measure of market sentiment. (2021). Martin, Ian ; Gao, Can. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:108598.

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2021Asset Pricing with Heterogeneous Investors and Portfolio Constraints. (2012). Chabakauri, Georgy . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp707.

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2021A Neural Network Monte Carlo Approximation for Expected Utility Theory. (2021). Escobar Anel, Marcos ; Escobar-Anel, Marcos ; Zhu, Yichen. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:322-:d:593076.

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2021.

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2022Shareholder heterogeneity, asymmetric information, and the equilibrium manager. (2022). Jouini, Elyes ; Dana, Rose-Anne ; Bianchi, Milo. In: Post-Print. RePEc:hal:journl:hal-03693971.

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2022Incentive Fees with a Moving Benchmark and Portfolio Selection under Loss Aversion. (2022). Lai, Anh Ngoc ; Mellios, Constantin. In: Post-Print. RePEc:hal:journl:hal-03708926.

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2022A Continuous-Time Model of Self-Protection. (2020). Santibaez, Nicolas Hernandez ; Bensalem, Sarah ; Kazi-Tani, Nabil. In: Working Papers. RePEc:hal:wpaper:hal-02974961.

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2021A BSDE with default jump and unbounded terminal value arising in a Principal-Agent context. (2021). Martin, Jessica. In: Working Papers. RePEc:hal:wpaper:hal-03106006.

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2021A Class of Explicit optimal contracts in the face of shutdown. (2021). Martin, Jessica ; Villeneuve, Stephane. In: Working Papers. RePEc:hal:wpaper:hal-03124102.

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2022Gaussian Agency problems with memory and Linear Contracts. (2022). Villeneuve, Stephane ; Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-03783062.

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2021A Dynamic Mean-Variance Analysis for Log Returns. (2021). Jin, Hanqing ; Dai, Min ; Xu, Yuhong ; Kou, Steven. In: Management Science. RePEc:inm:ormnsc:v:67:y:2021:i:2:p:1093-1108.

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2021Research on the Effects of Institutional Liquidation Strategies on the Market Based on Multi-agent Model. (2021). Li, Han Dong ; Zhou, Xuan ; Shi, YU ; Luo, Qixuan. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:4:d:10.1007_s10614-020-09987-z.

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2021Jointly Held Investment Options and Vertical Relationships. (2021). Zormpas, Dimitrios. In: Review of Industrial Organization. RePEc:kap:revind:v:58:y:2021:i:4:d:10.1007_s11151-020-09784-w.

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2021Asset allocation in extreme market conditions: a comparative analysis between developed and emerging economies. (2021). Bonga-Bonga, Lumengo ; Muteba, John Weirstrass ; Montshioa, Keitumetse. In: MPRA Paper. RePEc:pra:mprapa:106248.

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2021Early Refund Bonuses Increase Successful Crowdfunding. (2021). Cason, Timothy ; Zubrickas, Robertas ; Tabarrok, Alex. In: Purdue University Economics Working Papers. RePEc:pur:prukra:1326.

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2021Higher-order comoments and asset returns: evidence from emerging equity markets. (2021). Vo, Xuan Vinh ; Anh, Thi Tuan. In: Annals of Operations Research. RePEc:spr:annopr:v:297:y:2021:i:1:d:10.1007_s10479-020-03549-0.

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2022Proper use of the modified Sharpe ratios in performance measurement: rearranging the Cornish Fisher expansion. (2022). Barthelemy, Fabrice ; Amedee-Manesme, Charles-Olivier. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-020-03858-4.

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2022Ramsey rule with forward/backward utility for long-term yield curves modeling. (2022). el Karoui, Nicole ; Mrad, Mohamed ; Hillairet, Caroline. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:45:y:2022:i:1:d:10.1007_s10203-022-00370-1.

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2022Finite State Graphon Games with Applications to Epidemics. (2022). Lauriere, Mathieu ; Dayanikli, Goke ; Carmona, Rene ; Aurell, Alexander. In: Dynamic Games and Applications. RePEc:spr:dyngam:v:12:y:2022:i:1:d:10.1007_s13235-021-00410-2.

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2022Non-Value-Added Tax to improve market fairness and quality. (2022). Harb, Etienne ; Jonath, Arthur ; Veryzhenko, Iryna. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-021-00327-0.

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2021Additive logistic processes in option pricing. (2021). Carr, Peter ; Torricelli, Lorenzo. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:4:d:10.1007_s00780-021-00461-8.

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2022The influence of economic research on financial mathematics: Evidence from the last 25 years. (2022). Carmona, Rene. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:1:d:10.1007_s00780-021-00469-0.

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2022Log-optimal and numéraire portfolios for market models stopped at a random time. (2022). Yansori, Sina ; Choulli, Tahir. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:3:d:10.1007_s00780-022-00477-8.

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2021Live fast, die young: equilibrium and survival in large economies. (2021). Beddock, Arthur ; Jouini, Elyes. In: Economic Theory. RePEc:spr:joecth:v:71:y:2021:i:3:d:10.1007_s00199-020-01268-y.

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2022Shareholder heterogeneity, asymmetric information, and the equilibrium manager. (2022). Bianchi, Milo ; Jouini, Elyes ; Dana, Rose-Anne. In: Economic Theory. RePEc:spr:joecth:v:73:y:2022:i:4:d:10.1007_s00199-021-01349-6.

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2022Robust contracting in general contract spaces. (2022). Horst, Ulrich ; Beissner, Patrick ; Backhoff-Veraguas, Julio. In: Economic Theory. RePEc:spr:joecth:v:73:y:2022:i:4:d:10.1007_s00199-021-01354-9.

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2022Equilibrium CEO contract with belief heterogeneity. (2022). Jouini, Elyes ; Dana, Rose-Anne ; Bianchi, Milo. In: Economic Theory. RePEc:spr:joecth:v:74:y:2022:i:2:d:10.1007_s00199-022-01440-6.

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2021Rationality and asset prices under belief heterogeneity. (2021). Giachini, Daniele. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:31:y:2021:i:1:d:10.1007_s00191-020-00708-1.

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2022.

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2022.

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2021A numerical approach to solve consumption-portfolio problems with predictability in income, stock prices, and house prices. (2021). Weiss, Farina. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:93:y:2021:i:1:d:10.1007_s00186-020-00727-5.

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2021Multi-period mean–variance portfolio optimization with management fees. (2021). Shi, Yun ; Gao, Jianjun ; Cui, Xiangyu. In: Operational Research. RePEc:spr:operea:v:21:y:2021:i:2:d:10.1007_s12351-019-00482-4.

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2021Shareholder Heterogeneity, Asymmetric Information, and the Equilibrium Manager. (2021). Bianchi, Milo ; Jouini, Elyes ; Dana, Rose-Anne. In: TSE Working Papers. RePEc:tse:wpaper:125178.

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2022A Class of Explicit optimal contracts in the face of shutdown. (2021). Villeneuve, Stephane ; Martin, Jessica. In: TSE Working Papers. RePEc:tse:wpaper:125189.

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2021Equilibrium CEO Contract with Belief Heterogeneity. (2021). Bianchi, Milo ; Jouini, Elyes ; Dana, Rose-Anne. In: TSE Working Papers. RePEc:tse:wpaper:125984.

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2022Gaussian Agency problems with memory and Linear Contracts. (2022). Villeneuve, Stephane ; Jaber, Eduardo Abi. In: TSE Working Papers. RePEc:tse:wpaper:127364.

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2022Yield curve data choice and potential moral hazard: An empirical exercise on pricing callable bonds. (2022). Navarro, Eliseo ; Jareo, Francisco ; Diaz, Antonio. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:2124-2145.

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2021Volatility, valuation ratios, and bubbles: An empirical measure of market sentiment. (2021). Martin, Ian ; Gao, Can. In: SAFE Working Paper Series. RePEc:zbw:safewp:312.

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Jaksa Cvitanic has edited the books:


YearTitleTypeCited

Works by Jaksa Cvitanic:


YearTitleTypeCited
2016Achieving Efficiency in Dynamic Contribution Games In: American Economic Journal: Microeconomics.
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article10
2005A filtering approach to tracking volatility from prices observed at random times In: Papers.
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paper2
2010Relative Extinction of Heterogeneous Agents In: The B.E. Journal of Theoretical Economics.
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article6
2008Principal-Agent Problems with Exit Options In: The B.E. Journal of Theoretical Economics.
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article14
2013Market microstructure design and flash crashes: A simulation approach In: Journal of Applied Economics.
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article15
2009Asset Prices, Funds’ Size and PortfolioWeights in Equilibrium with Heterogeneous and Long-Lived Funds In: Swiss Finance Institute Research Paper Series.
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paper0
2009Equilibrium Driven by Discounted Dividend Volatility In: Swiss Finance Institute Research Paper Series.
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paper3
2009Financial Markets Equilibrium with Heterogeneous Agents In: Swiss Finance Institute Research Paper Series.
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paper53
2012Financial Markets Equilibrium with Heterogeneous Agents.(2012) In: Post-Print.
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This paper has another version. Agregated cites: 53
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2011Financial Markets Equilibrium with Heterogeneous Agents.(2011) In: Review of Finance.
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This paper has another version. Agregated cites: 53
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2010Price Impact and Portfolio Impact In: Swiss Finance Institute Research Paper Series.
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paper15
2011Price impact and portfolio impact.(2011) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 15
article
2010Nonmyopic Optimal Portfolios in Viable Markets In: Swiss Finance Institute Research Paper Series.
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paper0
2018Optimal Fund Menus In: Swiss Finance Institute Research Paper Series.
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paper0
2018Optimal fund menus.(2018) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 0
paper
2000Monte Carlo Valuation of Optimal Portfolios in Complete Markets In: Econometric Society World Congress 2000 Contributed Papers.
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paper1
1998Optimal consumption choices for a large investor In: Journal of Economic Dynamics and Control.
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article33
1996Optimal Consumption Choices for a Large Investor.(1996) In: Rodney L. White Center for Financial Research Working Papers.
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