15
H index
19
i10 index
698
Citations
California Institute of Technology | 15 H index 19 i10 index 698 Citations RESEARCH PRODUCTION: 32 Articles 15 Papers 1 Books EDITOR: Books edited RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Jaksa Cvitanic. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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Swiss Finance Institute Research Paper Series / Swiss Finance Institute | 6 |
Post-Print / HAL | 2 |
Year | Title of citing document |
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2022 | Optimal investment with time-varying stochastic endowments. (2014). Chen, AN ; Stelzer, Robert ; Mereu, Carla . In: Papers. RePEc:arx:papers:1406.6245. Full description at Econpapers || Download paper |
2021 | Explicit description of all deflators for markets under random horizon. (2018). Yansori, Sina ; Choulli, Tahir. In: Papers. RePEc:arx:papers:1803.10128. Full description at Econpapers || Download paper |
2021 | Robust Contracting in General Contract Spaces. (2019). Horst, Ulrich ; Beissner, Patrick ; Backhoff-Veraguas, Julio. In: Papers. RePEc:arx:papers:1910.12516. Full description at Econpapers || Download paper |
2022 | Random horizon principal-agent problem. (2020). Yang, Junjian ; Touzi, Nizar ; Ren, Zhenjie ; Lin, Yiqing. In: Papers. RePEc:arx:papers:2002.10982. Full description at Econpapers || Download paper |
2021 | Me, 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. Full description at Econpapers || Download paper |
2021 | Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets. (2020). Scaillet, Olivier ; Shen, Yiwen. In: Papers. RePEc:arx:papers:2004.10096. Full description at Econpapers || Download paper |
2021 | Teamwise Mean Field Competitions. (2020). Zhang, Yuchong ; Yu, Xiang ; Zhou, Zhou. In: Papers. RePEc:arx:papers:2006.14472. Full description at Econpapers || Download paper |
2022 | Is there a Golden Parachute in Sannikovs principal-agent problem?. (2020). Touzi, Nizar ; Possamai, Dylan. In: Papers. RePEc:arx:papers:2007.05529. Full description at Econpapers || Download paper |
2022 | Incentives, 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. Full description at Econpapers || Download paper |
2021 | Duality and deep learning for optimal consumption with randomly terminating income. (2020). Monoyios, Michael ; Davey, Ashley ; Zheng, Harry. In: Papers. RePEc:arx:papers:2011.00732. Full description at Econpapers || Download paper |
2021 | Governmental incentives for green bonds investment. (2021). Possamai, Dylan ; Baldacci, Bastien. In: Papers. RePEc:arx:papers:2101.00648. Full description at Econpapers || Download paper |
2021 | A Class of Explicit optimal contracts in the face of shutdown. (2021). Villeneuve, St'Ephane ; Martin, Jessica. In: Papers. RePEc:arx:papers:2102.00001. Full description at Econpapers || Download paper |
2021 | Policy with stochastic hysteresis. (2021). Riabov, Georgii ; Tsyvinski, Aleh. In: Papers. RePEc:arx:papers:2104.10225. Full description at Econpapers || Download paper |
2021 | Hedging Goals. (2021). Krabichler, Thomas ; Wunsch, Marcus. In: Papers. RePEc:arx:papers:2105.07915. Full description at Econpapers || Download paper |
2021 | Market 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. Full description at Econpapers || Download paper |
2021 | Deep 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. Full description at Econpapers || Download paper |
2021 | Moral Hazard, Dynamic Incentives, and Ambiguous Perceptions. (2021). Dumav, Martin. In: Papers. RePEc:arx:papers:2110.15229. Full description at Econpapers || Download paper |
2021 | Risk measures beyond frictionless markets. (2021). Munari, Cosimo ; Arduca, Maria. In: Papers. RePEc:arx:papers:2111.08294. Full description at Econpapers || Download paper |
2022 | Principal agent mean field games in REC markets. (2021). Jaimungal, Sebastian ; Firoozi, Dena ; Shrivats, Arvind. In: Papers. RePEc:arx:papers:2112.11963. Full description at Econpapers || Download paper |
2022 | Log-optimal portfolio after a random time: Existence, description and sensitivity analysis. (2022). Choulli, Tahir ; Alharbi, Ferdoos. In: Papers. RePEc:arx:papers:2204.03798. Full description at Econpapers || Download paper |
2022 | Optimal brokerage contracts in Almgren-Chriss model with multiple clients. (2022). Webster, Kevin ; Nadtochiy, Sergey ; Alvarez, Guillermo Alonso. In: Papers. RePEc:arx:papers:2204.05403. Full description at Econpapers || Download paper |
2022 | Gaussian Agency problems with memory and Linear Contracts. (2022). Villeneuve, St'Ephane ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2209.10878. Full description at Econpapers || Download paper |
2022 | On Robustness of Double Linear Trading with Transaction Costs. (2022). Hsieh, Chung-Han. In: Papers. RePEc:arx:papers:2209.12383. Full description at Econpapers || Download paper |
2022 | The continuous-time pre-commitment KMM problem in incomplete markets. (2022). Song, Yilun ; Liang, Zongxia ; Guan, Guohui. In: Papers. RePEc:arx:papers:2210.13833. Full description at Econpapers || Download paper |
2022 | Evaluating 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. Full description at Econpapers || Download paper |
2021 | Heterogeneous 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. Full description at Econpapers || Download paper |
2021 | Optimal 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. Full description at Econpapers || Download paper |
2021 | Mean–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. Full description at Econpapers || Download paper |
2021 | Duality 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. Full description at Econpapers || Download paper |
2022 | Optimal fund menus. (2022). Hugonnier, Julien ; Cvitani, Jaka. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:2:p:455-516. Full description at Econpapers || Download paper |
2021 | Salesforce 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. Full description at Econpapers || Download paper |
2021 | Discretization 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. Full description at Econpapers || Download paper |
2021 | Fiscal 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. Full description at Econpapers || Download paper |
2022 | Central 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. Full description at Econpapers || Download paper |
2022 | Competition and equilibrium effort choice. (2022). Xu, Jing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:137:y:2022:i:c:s0165188922000367. Full description at Econpapers || Download paper |
2022 | Market 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. Full description at Econpapers || Download paper |
2022 | Dynamic 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2022 | Price 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. Full description at Econpapers || Download paper |
2022 | Near-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. Full description at Econpapers || Download paper |
2021 | Early 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. Full description at Econpapers || Download paper |
2021 | Optimal 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. Full description at Econpapers || Download paper |
2021 | Dynamic 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. Full description at Econpapers || Download paper |
2021 | Asset 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. Full description at Econpapers || Download paper |
2021 | Mispricing, 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. Full description at Econpapers || Download paper |
2022 | Drift 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. Full description at Econpapers || Download paper |
2021 | Identifying 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. Full description at Econpapers || Download paper |
2022 | Quadratic 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. Full description at Econpapers || Download paper |
2021 | Volatility, 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. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2021 | . Full description at Econpapers || Download paper |
2022 | Shareholder heterogeneity, asymmetric information, and the equilibrium manager. (2022). Jouini, Elyes ; Dana, Rose-Anne ; Bianchi, Milo. In: Post-Print. RePEc:hal:journl:hal-03693971. Full description at Econpapers || Download paper |
2022 | Incentive 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. Full description at Econpapers || Download paper |
2022 | Gaussian Agency problems with memory and Linear Contracts. (2022). Villeneuve, Stephane ; Jaber, Eduardo Abi. In: Post-Print. RePEc:hal:journl:hal-03783062. Full description at Econpapers || Download paper |
2022 | A Continuous-Time Model of Self-Protection. (2020). Santibaez, Nicolas Hernandez ; Bensalem, Sarah ; Kazi-Tani, Nabil. In: Working Papers. RePEc:hal:wpaper:hal-02974961. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2021 | A Class of Explicit optimal contracts in the face of shutdown. (2021). Martin, Jessica ; Villeneuve, Stephane. In: Working Papers. RePEc:hal:wpaper:hal-03124102. Full description at Econpapers || Download paper |
2022 | Gaussian Agency problems with memory and Linear Contracts. (2022). Villeneuve, Stephane ; Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-03783062. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2021 | Research 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. Full description at Econpapers || Download paper |
2021 | Jointly 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. Full description at Econpapers || Download paper |
2021 | Pricing American Options under High-Dimensional Models with Recursive Adaptive Sparse Expectations*. (2021). Treccani, Adrien ; Scheidegger, Simon. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:19:y:2021:i:2:p:258-290.. Full description at Econpapers || Download paper |
2021 | Asset 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. Full description at Econpapers || Download paper |
2021 | Early Refund Bonuses Increase Successful Crowdfunding. (2021). Cason, Timothy ; Zubrickas, Robertas ; Tabarrok, Alex. In: Purdue University Economics Working Papers. RePEc:pur:prukra:1326. Full description at Econpapers || Download paper |
2021 | Higher-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. Full description at Econpapers || Download paper |
2022 | Proper 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. Full description at Econpapers || Download paper |
2022 | Ramsey 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. Full description at Econpapers || Download paper |
2022 | Finite 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. Full description at Econpapers || Download paper |
2022 | Non-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. Full description at Econpapers || Download paper |
2021 | Additive 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. Full description at Econpapers || Download paper |
2022 | The 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. Full description at Econpapers || Download paper |
2022 | Log-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. Full description at Econpapers || Download paper |
2022 | Principal–agent problem under the linear contract. (2022). Zhang, Yong ; Ting, Hing-Fung ; Ning, LI ; Gao, Guichen. In: Journal of Combinatorial Optimization. RePEc:spr:jcomop:v:44:y:2022:i:4:d:10.1007_s10878-021-00723-3. Full description at Econpapers || Download paper |
2021 | Live 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. Full description at Econpapers || Download paper |
2022 | Shareholder 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. Full description at Econpapers || Download paper |
2022 | Robust 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. Full description at Econpapers || Download paper |
2022 | Equilibrium 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. Full description at Econpapers || Download paper |
2021 | Rationality 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. Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2021 | Multi-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. Full description at Econpapers || Download paper |
2021 | Shareholder Heterogeneity, Asymmetric Information, and the Equilibrium Manager. (2021). Bianchi, Milo ; Jouini, Elyes ; Dana, Rose-Anne. In: TSE Working Papers. RePEc:tse:wpaper:125178. Full description at Econpapers || Download paper |
2022 | A Class of Explicit optimal contracts in the face of shutdown. (2021). Villeneuve, Stephane ; Martin, Jessica. In: TSE Working Papers. RePEc:tse:wpaper:125189. Full description at Econpapers || Download paper |
2021 | Equilibrium CEO Contract with Belief Heterogeneity. (2021). Bianchi, Milo ; Jouini, Elyes ; Dana, Rose-Anne. In: TSE Working Papers. RePEc:tse:wpaper:125984. Full description at Econpapers || Download paper |
2022 | Gaussian Agency problems with memory and Linear Contracts. (2022). Villeneuve, Stephane ; Jaber, Eduardo Abi. In: TSE Working Papers. RePEc:tse:wpaper:127364. Full description at Econpapers || Download paper |
2022 | Yield 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. Full description at Econpapers || Download paper |
2021 | Volatility, valuation ratios, and bubbles: An empirical measure of market sentiment. (2021). Martin, Ian ; Gao, Can. In: SAFE Working Paper Series. RePEc:zbw:safewp:312. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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Year | Title | Type | Cited |
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2016 | Achieving Efficiency in Dynamic Contribution Games In: American Economic Journal: Microeconomics. [Full Text][Citation analysis] | article | 10 |
2005 | A filtering approach to tracking volatility from prices observed at random times In: Papers. [Full Text][Citation analysis] | paper | 2 |
2010 | Relative Extinction of Heterogeneous Agents In: The B.E. Journal of Theoretical Economics. [Full Text][Citation analysis] | article | 6 |
2008 | Principal-Agent Problems with Exit Options In: The B.E. Journal of Theoretical Economics. [Full Text][Citation analysis] | article | 14 |
2013 | Market microstructure design and flash crashes: A simulation approach In: Journal of Applied Economics. [Full Text][Citation analysis] | article | 15 |
2009 | Asset Prices, Funds’ Size and PortfolioWeights in Equilibrium with Heterogeneous and Long-Lived Funds In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2009 | Equilibrium Driven by Discounted Dividend Volatility In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
2009 | Financial Markets Equilibrium with Heterogeneous Agents In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 53 |
2012 | Financial Markets Equilibrium with Heterogeneous Agents.(2012) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 53 | paper | |
2011 | Financial Markets Equilibrium with Heterogeneous Agents.(2011) In: Review of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 53 | article | |
2010 | Price Impact and Portfolio Impact In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 15 |
2011 | Price impact and portfolio impact.(2011) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | article | |
2010 | Nonmyopic Optimal Portfolios in Viable Markets In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2018 | Optimal Fund Menus In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2018 | Optimal fund menus.(2018) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2000 | Monte Carlo Valuation of Optimal Portfolios in Complete Markets In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 1 |
1998 | Optimal consumption choices for a large investor In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 33 |
1996 | Optimal 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: 33 | paper | |
1996 | Optimal 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: 33 | paper | |
2003 | Monte Carlo computation of optimal portfolios in complete markets In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 32 |
2008 | Implications of the Sharpe ratio as a performance measure in multi-period settings In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 12 |
2008 | Implications of Sharpe Ratio as a Performance Measure in Multi-Period Settings.(2008) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2011 | Co-development ventures: Optimal time of entry and profit-sharing In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 7 |
2007 | Optimal risk-sharing with effort and project choice In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 23 |
2018 | Asset pricing under optimal contracts In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 7 |
2018 | Asset pricing under optimal contracts.(2018) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2004 | Leverage decision and manager compensation with choice of effort and volatility In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 38 |
2001 | On optimal terminal wealth under transaction costs In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 29 |
2012 | Competition in Portfolio Management: Theory and Experiment In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2015 | Competition in Portfolio Management: Theory and Experiment.(2015) In: Management Science. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2007 | Optimal Risk Taking with Flexible Income In: Management Science. [Full Text][Citation analysis] | article | 1 |
2013 | Dynamics of Contract Design with Screening In: Management Science. [Full Text][Citation analysis] | article | 15 |
2008 | Optimal portfolio allocation with higher moments In: Annals of Finance. [Full Text][Citation analysis] | article | 38 |
2010 | Beliefs regarding fundamental value and optimal investing In: Annals of Finance. [Full Text][Citation analysis] | article | 2 |
1999 | Introduction In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 0 |
1999 | Methods of Partial Hedging In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 1 |
2004 | Introduction to the Economics and Mathematics of Financial Markets In: MIT Press Books. [Citation analysis] | book | 47 |
1998 | Optimal Replication of Contingent Claims under Portfolio Constraints. In: Review of Financial Studies. [Citation analysis] | article | 39 |
2008 | Analytic Pricing of Employee Stock Options In: Review of Financial Studies. [Full Text][Citation analysis] | article | 29 |
2015 | Markets with random lifetimes and private values: mean reversion and option to trade In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 0 |
2017 | Erratum to: Utility maximization in incomplete markets with random endowment In: Finance and Stochastics. [Full Text][Citation analysis] | article | 2 |
2018 | Dynamic programming approach to principal–agent problems In: Finance and Stochastics. [Full Text][Citation analysis] | article | 39 |
1998 | A closed-form solution to the problem of super-replication under transaction costs In: Finance and Stochastics. [Full Text][Citation analysis] | article | 8 |
1999 | On dynamic measures of risk In: Finance and Stochastics. [Full Text][Citation analysis] | article | 41 |
2001 | Utility maximization in incomplete markets with random endowment In: Finance and Stochastics. [Full Text][Citation analysis] | article | 75 |
2003 | Optimal allocation to hedge funds: an empirical analysis In: Quantitative Finance. [Full Text][Citation analysis] | article | 8 |
2001 | INCOMPLETE INFORMATION WITH RECURSIVE PREFERENCES In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
2009 | CREDIT RISK MODELING WITH MISREPORTING AND INCOMPLETE INFORMATION In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
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