Jaksa Cvitanic : Citation Profile


Are you Jaksa Cvitanic?

California Institute of Technology

13

H index

15

i10 index

520

Citations

RESEARCH PRODUCTION:

32

Articles

15

Papers

1

Books

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   22 years (1996 - 2018). See details.
   Cites by year: 23
   Journals where Jaksa Cvitanic has often published
   Relations with other researchers
   Recent citing documents: 128.    Total self citations: 11 (2.07 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pcv1
   Updated: 2020-08-09    RAS profile: 2019-05-28    
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Relations with other researchers


Works with:

Plott, Charles (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 (16)

Dindo, Pietro (9)

lioui, abraham (6)

Prigent, Jean-Luc (5)

Shi, Lei (5)

Jouini, Elyès (5)

He, Xuezhong (5)

Bottazzi, Giulio (5)

Leung, Tim (4)

Kaniel, Ron (4)

Miao, Jianjun (4)

Cites to:

merton, robert (8)

OU-YANG, HUI (7)

Campbell, John (6)

Milgrom, Paul (6)

Holmstrom, Bengt (6)

Viceira, Luis (5)

Duffie, Darrell (5)

He, Hua (4)

Fama, Eugene (4)

Biais, Bruno (4)

Murphy, Kevin (4)

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 Financial Economics2
Annals of Finance2
Review of Financial Studies2
Journal of Economic Theory2
The B.E. Journal of Theoretical Economics2
Asia-Pacific Financial Markets2
International Journal of Theoretical and Applied Finance (IJTAF)2

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 (2018 and 2017)


YearTitle of citing document
2018Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices. (2018). Bayraktar, Erhan ; Yu, Xiang. In: Papers. RePEc:arx:papers:1504.00310.

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2017An explicit formula for optimal portfolios in complete Wiener driven markets: a functional It\^o calculus approach. (2017). Lindensjo, Kristoffer. In: Papers. RePEc:arx:papers:1610.05018.

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2019Bank monitoring incentives under moral hazard and adverse selection. (2019). Santib, Nicol'As Hern'Andez ; Zhou, Chao ; Possamai, Dylan. In: Papers. RePEc:arx:papers:1701.05864.

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2017Fractional delta hedging strategy for pricing currency options with transaction costs. (2017). Shokrollahi, Foad. In: Papers. RePEc:arx:papers:1702.00037.

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2018On utility maximization without passing by the dual problem. (2018). Rasonyi, Miklos. In: Papers. RePEc:arx:papers:1702.00982.

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2018Conditional Davis Pricing. (2018). Vzitkovi, Gordan ; Soner, Halil Mete ; Larsen, Kasper. In: Papers. RePEc:arx:papers:1702.02087.

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2019Characterization of Fully Coupled FBSDE in Terms of Portfolio Optimization. (2019). Luo, Peng ; Drapeau, Samuel ; Xiong, Dewen. In: Papers. RePEc:arx:papers:1703.02694.

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2017Investing for the Long Run. (2017). Platen, Eckhard ; Leisen, Dietmar . In: Papers. RePEc:arx:papers:1705.03929.

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2018Optimal Portfolio under Fast Mean-reverting Fractional Stochastic Environment. (2018). Hu, Ruimeng ; Fouque, Jean-Pierre. In: Papers. RePEc:arx:papers:1706.03139.

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2017Portfolio optimization for a large investor controlling market sentiment under partial information. (2017). Eksi, Zehra ; Colaneri, Katia ; Altay, Suhan. In: Papers. RePEc:arx:papers:1706.03567.

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2018General Equilibrium Under Convex Portfolio Constraints and Heterogeneous Risk Preferences. (2018). Abbot, Tyler . In: Papers. RePEc:arx:papers:1706.05877.

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2017Valuation of Employee Stock Options (ESOs) by means of Mean-Variance Hedging. (2017). Zervos, Mihail ; Kladivko, Kamil . In: Papers. RePEc:arx:papers:1710.00897.

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2017Utility maximization problem under transaction costs: optimal dual processes and stability. (2017). Yang, Junjian ; Lin, Yiqing ; Gu, Lingqi. In: Papers. RePEc:arx:papers:1710.04363.

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2018Optimal contract for a fund manager, with capital injections and endogenous trading constraints. (2018). Zariphopoulou, Thaleia ; Nadtochiy, Sergey. In: Papers. RePEc:arx:papers:1802.09165.

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2019Asymptotic Optimal Portfolio in Fast Mean-reverting Stochastic Environments. (2019). Hu, Ruimeng. In: Papers. RePEc:arx:papers:1803.07720.

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2018Explicit 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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2019Utility maximization with proportional transaction costs under model uncertainty. (2019). Yu, Xiang ; Tan, Xiaolu ; Deng, Shuoqing. In: Papers. RePEc:arx:papers:1805.06498.

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2018Log-optimal portfolio without NFLVR: existence, complete characterization, and duality. (2018). Yansori, Sina ; Choulli, Tahir. In: Papers. RePEc:arx:papers:1807.06449.

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2019Optimal electricity demand response contracting with responsiveness incentives. (2019). Touzi, Nizar ; Possamai, Dylan ; Ren'e A"id, . In: Papers. RePEc:arx:papers:1810.09063.

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2018Log-optimal portfolio and num\eraire portfolio under random horizon. (2018). Yansori, Sina ; Choulli, Tahir. In: Papers. RePEc:arx:papers:1810.12762.

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2019Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment. (2019). Hu, Ruimeng ; Fouque, Jean-Pierre. In: Papers. RePEc:arx:papers:1902.06883.

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2020Mean-field moral hazard for optimal energy demand response management. (2019). Possamai, Dylan ; Mastrolia, Thibaut ; Hubert, Emma ; Elie, Romuald. In: Papers. RePEc:arx:papers:1902.10405.

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2020Asset Pricing with Heterogeneous Beliefs and Illiquidity. (2019). Tan, Xiaowei ; Nutz, Marcel ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1905.05730.

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2019Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints. (2019). Pelsser, Antoon ; Kamma, Thijs. In: Papers. RePEc:arx:papers:1906.12317.

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2019Robust no arbitrage and the solvability of vector-valued utility maximization problems. (2019). Zhou, Zhou ; Rudloff, Birgit ; Hamel, Andreas H. In: Papers. RePEc:arx:papers:1909.00354.

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2019Robust Utility Maximization with Drift and Volatility Uncertainty. (2019). Ugurlu, Kerem. In: Papers. RePEc:arx:papers:1909.05335.

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2020Resolving asset pricing puzzles with price impact. (2019). Seppi, Duane J ; Larsen, Kasper ; Choi, Jin Hyuk ; Chen, Xiao. In: Papers. RePEc:arx:papers:1910.02466.

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2019Market making and incentives design in the presence of a dark pool: a deep reinforcement learning approach. (2019). Rosenbaum, Mathieu ; Mastrolia, Thibaut ; Manziuk, Iuliia ; Baldacci, Bastien. In: Papers. RePEc:arx:papers:1912.01129.

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2020Price impact equilibrium with transaction costs and TWAP trading. (2020). Weston, Kim ; Noh, Eunjung. In: Papers. RePEc:arx:papers:2002.08286.

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

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2020Me, 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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2020Decomposition 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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2020Continuous time mean-variance-utility portfolio problem and its equilibrium strategy. (2020). Zhu, Song-Ping ; He, Xin-Jiang ; Yang, Ben-Zhang. In: Papers. RePEc:arx:papers:2005.06782.

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

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2020Is 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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2020Mean-variance-utility portfolio selection with time and state dependent risk aversion. (2020). Zhu, Song-Ping ; He, Xin-Jiang ; Yang, Ben-Zhang. In: Papers. RePEc:arx:papers:2007.06510.

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2018The deeds of speed: an agent-based model of market liquidity and flash episodes. (2018). Beale, Daniel ; Worlidge, Jack ; Noss, Joseph ; Karvik, Geir-Are. In: Bank of England working papers. RePEc:boe:boeewp:0743.

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2020All Symmetric Equilibria in Differential Games with Public Goods. (2020). Wagener, Florian ; Jaakkola, Niko. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8246.

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2017Belief Dispersion in the Stock Market. (2017). Basak, Suleyman ; Atmaz, Adem. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12056.

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2018Option Prices and Costly Short-Selling. (2018). Basak, Suleyman ; Atmaz, Adem. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13029.

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2019Harmful diversification: Evidence from alternative investments. (2019). Sutcliffe, Charles ; Sakkas, Athanasios ; Platanakis, Emmanouil. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:1:p:1-23.

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2017Efficient non-cooperative bargaining despite keeping strategic information private. (2017). Lukas, Elmar ; Welling, Andreas . In: Journal of Corporate Finance. RePEc:eee:corfin:v:42:y:2017:i:c:p:287-294.

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2018Executive turnover and the valuation of stock options. (2018). Klein, Daniel. In: Journal of Corporate Finance. RePEc:eee:corfin:v:48:y:2018:i:c:p:76-93.

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2019Can competition between forecasters stabilize asset prices in learning to forecast experiments?. (2019). Tuinstra, Jan ; Rud, Olga A ; Rabanal, Jean Paul ; Kopanyi, David. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:109:y:2019:i:c:s0165188919301678.

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2017Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:180-201.

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2017Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds. (2017). Prigent, Jean-Luc ; Abid, Ilyes ; Mkaouar, Farid. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:228-247.

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2017The impact of the French financial transaction tax on HFT activities and market quality. (2017). Oriol, Nathalie ; Louhichi, Wael ; Harb, Etienne ; Veryzhenko, Iryna. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:307-315.

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2019A Fuzzy Stochastic Model for Carbon Price Prediction Under the Effect of Demand-related Policy in Chinas Carbon Market. (2019). Song, Xiaoqiu ; Li, Yin ; Liang, Dapeng ; Liu, Tiansen. In: Ecological Economics. RePEc:eee:ecolec:v:157:y:2019:i:c:p:253-265.

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2017Optimizing provision of ecosystem services using modern portfolio theory. (2017). Ropicki, Andrew ; Larkin, Sherry L ; Alvarez, Sergio. In: Ecosystem Services. RePEc:eee:ecoser:v:27:y:2017:i:pa:p:25-37.

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2018Using incentives to coordinate responses to a system of payments for watershed services: The middle route of South–North Water Transfer Project, China. (2018). Sheng, Jichuan ; Webber, Michael. In: Ecosystem Services. RePEc:eee:ecoser:v:32:y:2018:i:pa:p:1-8.

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2019Donation-based crowdfunding with refund bonuses. (2019). Cason, Timothy ; Zubrickas, Robertas. In: European Economic Review. RePEc:eee:eecrev:v:119:y:2019:i:c:p:452-471.

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2017Percentage rent contracts between co-stores. (2017). Moussawi-Haidar, Lama ; Omez-Dolgan, Nagihan . In: European Journal of Operational Research. RePEc:eee:ejores:v:258:y:2017:i:3:p:912-925.

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2017A real options game of alliance timing decisions in biopharmaceutical research and development. (2017). Morreale, Azzurra ; Roma, Paolo ; lo Nigro, Giovanna ; ROBBA, SERENA . In: European Journal of Operational Research. RePEc:eee:ejores:v:261:y:2017:i:3:p:1189-1202.

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2018Optimal patent policy in the presence of vertical separation. (2018). Jeon, Haejun ; Nishihara, Michi. In: European Journal of Operational Research. RePEc:eee:ejores:v:270:y:2018:i:2:p:682-697.

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2019Macroeconomic environment, money demand and portfolio choice. (2019). Lioui, Abraham ; Tarelli, Andrea. In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:1:p:357-374.

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2019Pricing decision of a manufacturer in a dual-channel supply chain with asymmetric information. (2019). Zhao, Ruijuan ; Zhou, Jianheng ; Wang, Weishen . In: European Journal of Operational Research. RePEc:eee:ejores:v:278:y:2019:i:3:p:809-820.

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2017Implementing and testing the Maximum Drawdown at Risk. (2017). de Melo, Beatriz Vaz ; Lavrado, Rafael Coelho . In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:95-100.

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2018Liquidity might come at cost: The role of heterogeneous preferences. (2018). Hauser, Shmuel ; Kedar-Levy, Haim. In: Journal of Financial Markets. RePEc:eee:finmar:v:39:y:2018:i:c:p:1-23.

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2017Insurance valuation: A computable multi-period cost-of-capital approach. (2017). Engsner, Hampus ; Lindskog, Filip ; Lindholm, Mathias . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:250-264.

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2018Optimal investment under VaR-Regulation and Minimum Insurance. (2018). Chen, AN ; Stadje, Mitja ; Nguyen, Thai. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:194-209.

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2019Predictors and portfolios over the life cycle. (2019). Weiss, Farina ; Munk, Claus ; Kraft, Holger. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:100:y:2019:i:c:p:1-27.

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2019A new approach to optimal capital allocation for RORAC maximization in banks. (2019). Poshakwale, Sunil ; Kang, Woo-Young. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:153-165.

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2017Index portfolio and welfare analysis under heterogeneous beliefs. (2017). Shi, Lei ; He, Xuezhong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:75:y:2017:i:c:p:64-79.

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2019Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading. (2019). Napoletano, Mauro ; Leal, Sandrine Jacob. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:157:y:2019:i:c:p:15-41.

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2019Fee structure and mutual fund choice: An experiment. (2019). Bao, Te ; Tuinstra, Jan ; Sutan, Angela ; Anufriev, Mikhail. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:158:y:2019:i:c:p:449-474.

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2019Profitability, efficiency, and inequality in double auction markets with snipers. (2019). Ratan, Anmol ; Brewer, Paul . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:164:y:2019:i:c:p:486-499.

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2019Robust consumption and portfolio policies when asset prices can jump. (2019). Ait-Sahalia, Yacine ; Matthys, Felix. In: Journal of Economic Theory. RePEc:eee:jetheo:v:179:y:2019:i:c:p:1-56.

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2019Survival in speculative markets. (2019). Dindo, Pietro. In: Journal of Economic Theory. RePEc:eee:jetheo:v:181:y:2019:i:c:p:1-43.

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2019Option prices and costly short-selling. (2019). Basak, Suleyman ; Atmaz, Adem. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:1:p:1-28.

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2018Pricing the American options using the Black–Scholes pricing formula. (2018). Alghalith, Moawia. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:443-445.

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2017Deadlines and infrequent monitoring in the dynamic provision of public goods. (2017). Georgiadis, George . In: Journal of Public Economics. RePEc:eee:pubeco:v:152:y:2017:i:c:p:1-12.

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2019Idiosyncratic risk, managerial discretion and capital structure. (2019). Xia, Xin ; Gan, Liu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:586-599.

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2020On the investment credentials of Bitcoin: A cross-currency perspective. (2020). Bedi, Prateek ; Nashier, Tripti. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919301722.

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2019Accelerating the adoption of automated vehicles by subsidies: A dynamic games approach. (2019). Yin, Yafeng ; Chen, Zhibin ; Saigal, Romesh ; Luo, QI. In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:129:y:2019:i:c:p:226-243.

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2017Robust portfolios and weak incentives in long-run investments. (2017). Guasoni, Paolo ; Muhle-Karbe, Johannes ; Xing, Hao. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:60577.

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2017Portfolio optimisation beyond semimartingales: shadowprices and fractional Brownian motion. (2017). Schachermayer, Walter ; Czichowsky, Christoph. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:67689.

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2018Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. (2018). Yang, Junjian ; Schachermayer, Walter ; Peyre, Remi ; Czichowsky, Christoph Johannes. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:85230.

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2020Deep Reinforcement Learning in Agent Based Financial Market Simulation. (2020). Kato, Atsuo ; Izumi, Kiyoshi ; Sakaji, Hiroki ; Matsushima, Hiroyasu ; Kitano, Michiharu ; Degraw, David ; Maeda, Iwao. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:4:p:71-:d:344491.

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2018Stable Value Funds Performance. (2018). Babbel, David ; Herce, Miguel A. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:12-:d:132609.

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2017Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading. (2017). Leal, Sandrine Jacob ; Napoletano, Mauro. In: Post-Print. RePEc:hal:journl:hal-01768876.

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2017Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume. In: Post-Print. RePEc:hal:journl:hal-02000726.

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2017Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume. In: Post-Print. RePEc:hal:journl:hal-02312186.

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2018Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. (2018). Yang, Junjian ; Schachermayer, Walter ; Peyre, Remi ; Czichowsky, Christoph. In: Post-Print. RePEc:hal:journl:hal-02373296.

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2019Market structure or traders behavior? A multi agent model to assess flash crash phenomena and their regulation. (2019). Oriol, Nathalie ; Veryzhenko, Iryna. In: Post-Print. RePEc:hal:journl:halshs-01984442.

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2017Bank monitoring incentives under moral hazard and adverse selection. (2017). Zhou, Chao ; Possamai, Dylan ; Santibaez, Nicolas Hernandez . In: Working Papers. RePEc:hal:wpaper:hal-01435460.

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2019Prevention efforts, insurance demand and price incentives under coherent risk measures. (2019). Kazi-Tani, Nabil ; Santibaez, Nicolas Hernandez ; Bensalem, Sarah. In: Working Papers. RePEc:hal:wpaper:hal-01983433.

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2019Principal-agent problem with multiple principals. (2019). Yang, Junjian ; Ren, Zhenjie ; Hu, Kaitong. In: Working Papers. RePEc:hal:wpaper:hal-02088486.

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2020Non-Value-Added Tax to Improve Market Fairness. (2020). Harb, Etienne ; Jonath, Arthur ; Veryzhenko, Iryna. In: Working Papers. RePEc:hal:wpaper:hal-02881064.

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2017How vertical relationships and external funding affect investment efficiency and timing?. (2017). . In: 2017 Papers. RePEc:jmp:jm2017:pzo81.

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2017K-fold cross validation performance comparisons of six naive portfolio selection rules: how naive can you be and still have successful out-of-sample portfolio performance?. (2017). Haley, Ryan M. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:3:d:10.1007_s10436-017-0301-4.

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2019Optimal demand in a mispriced asymmetric Carr–Geman–Madan–Yor (CGMY) economy. (2019). Perera, Sandun ; Buckley, Winston. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:3:d:10.1007_s10436-018-0335-2.

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2019Business-cycle pattern of asset returns: a general equilibrium explanation. (2019). Kang, Qiang. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:4:d:10.1007_s10436-019-00347-y.

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2019Momentum and reversal in financial markets with persistent heterogeneity. (2019). Giachini, Daniele ; Dindo, Pietro ; Bottazzi, Giulio. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:4:d:10.1007_s10436-019-00353-0.

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2017Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps. (2017). Hata, Hiroaki ; Sekine, Jun. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:24:y:2017:i:3:d:10.1007_s10690-017-9231-4.

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2019Developing a Risk-Based Approach for American Basket Option Pricing. (2019). Hajizadeh, Ehsan ; Mahootchi, Masoud. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:4:d:10.1007_s10614-018-9826-5.

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2019A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates. (2019). Prigent, Jean-Luc ; Abid, Ilyes ; Mkaouar, Farid. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:1:d:10.1007_s10614-017-9742-0.

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2019On the Numerical Solution of Mertonian Control Problems: A Survey of the Markov Chain Approximation Method for the Working Economist. (2019). Ellersgaard, Simon. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:3:d:10.1007_s10614-018-9865-y.

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2020An improved of Hull–White model for valuing Employee Stock Options (ESOs). (2020). Sidarto, Kuntjoro A ; Chendra, Erwinna. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:2:d:10.1007_s11156-019-00802-x.

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2019Are Funds of Hedge Funds Efficient? An Empirical Analysis for North American, Asia Pacific, and European Long/Short Funds of Hedge Funds. (2019). Yu, Cheng M ; Sy, Malick O ; An, L ; Chen, Tan B ; Hossain, Sayed. In: Multinational Finance Journal. RePEc:mfj:journl:v:23:y:2019:i:1-2:p:37-64.

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2019Level Leverage decisions and manager characteristics. (2019). Cerejeira, Joo ; Carvalho, Margarita. In: NIPE Working Papers. RePEc:nip:nipewp:09/2019.

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2020Covered Interest Parity: A Stochastic Volatility Approach to Estimate the Neutral Band. (2020). Hernandez, Juan. In: MPRA Paper. RePEc:pra:mprapa:100744.

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More than 100 citations found, this list is not complete...

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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article6
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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article5
2008Principal-Agent Problems with Exit Options In: The B.E. Journal of Theoretical Economics.
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article9
2013Market microstructure design and flash crashes: A simulation approach In: Journal of Applied Economics.
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article13
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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paper2
2009Financial Markets Equilibrium with Heterogeneous Agents In: Swiss Finance Institute Research Paper Series.
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paper37
2012Financial Markets Equilibrium with Heterogeneous Agents.(2012) In: Post-Print.
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This paper has another version. Agregated cites: 37
paper
2011Financial Markets Equilibrium with Heterogeneous Agents.(2011) In: Review of Finance.
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This paper has another version. Agregated cites: 37
article
2010Price Impact and Portfolio Impact In: Swiss Finance Institute Research Paper Series.
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paper11
2011Price impact and portfolio impact.(2011) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 11
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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article30
1996Optimal Consumption Choices for a Large Investor.(1996) In: Rodney L. White Center for Financial Research Working Papers.
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This paper has another version. Agregated cites: 30
paper
1996Optimal Consumption Choices for a Large Investor.(1996) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 30
paper
2003Monte Carlo computation of optimal portfolios in complete markets In: Journal of Economic Dynamics and Control.
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article27
2008Implications of the Sharpe ratio as a performance measure in multi-period settings In: Journal of Economic Dynamics and Control.
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article9
2008Implications of Sharpe Ratio as a Performance Measure in Multi-Period Settings.(2008) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 9
paper
2011Co-development ventures: Optimal time of entry and profit-sharing In: Journal of Economic Dynamics and Control.
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article6
2007Optimal risk-sharing with effort and project choice In: Journal of Economic Theory.
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article17
2018Asset pricing under optimal contracts In: Journal of Economic Theory.
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article0
2018Asset pricing under optimal contracts.(2018) In: LSE Research Online Documents on Economics.
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This paper has another version. Agregated cites: 0
paper
2004Leverage decision and manager compensation with choice of effort and volatility In: Journal of Financial Economics.
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article37
2001On optimal terminal wealth under transaction costs In: Journal of Mathematical Economics.
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article30
2012Competition in Portfolio Management: Theory and Experiment In: Working Papers.
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paper4
2015Competition in Portfolio Management: Theory and Experiment.(2015) In: Management Science.
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This paper has another version. Agregated cites: 4
article
2007Optimal Risk Taking with Flexible Income In: Management Science.
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article1
2013Dynamics of Contract Design with Screening In: Management Science.
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article9
2008Optimal portfolio allocation with higher moments In: Annals of Finance.
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article34
2010Beliefs regarding fundamental value and optimal investing In: Annals of Finance.
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article2
1999Introduction In: Asia-Pacific Financial Markets.
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article0
1999Methods of Partial Hedging In: Asia-Pacific Financial Markets.
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article1
2004Introduction to the Economics and Mathematics of Financial Markets In: MIT Press Books.
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book40
1998Optimal Replication of Contingent Claims under Portfolio Constraints. In: Review of Financial Studies.
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article24
2008Analytic Pricing of Employee Stock Options In: Review of Financial Studies.
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article28
2015Markets with random lifetimes and private values: mean reversion and option to trade In: Decisions in Economics and Finance.
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article0
2017Erratum to: Utility maximization in incomplete markets with random endowment In: Finance and Stochastics.
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article2
2018Dynamic programming approach to principal–agent problems In: Finance and Stochastics.
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article13
1998A closed-form solution to the problem of super-replication under transaction costs In: Finance and Stochastics.
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article8
1999On dynamic measures of risk In: Finance and Stochastics.
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article39
2001Utility maximization in incomplete markets with random endowment In: Finance and Stochastics.
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article66
2003Optimal allocation to hedge funds: an empirical analysis In: Quantitative Finance.
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article7
2001INCOMPLETE INFORMATION WITH RECURSIVE PREFERENCES In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article0
2009CREDIT RISK MODELING WITH MISREPORTING AND INCOMPLETE INFORMATION In: International Journal of Theoretical and Applied Finance (IJTAF).
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article0

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