15
H index
20
i10 index
739
Citations
Jaksa Cvitanic : Citation Profile
California Institute of Technology | RESEARCH PRODUCTION: 32 Articles 15 Papers 1 Books EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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22 years (1996 - 2018). Relations with other researchers
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:
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Main data
Where Jaksa Cvitanic has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Swiss Finance Institute Research Paper Series / Swiss Finance Institute | 6 |
| Post-Print / HAL | 2 |
Recent works citing Jaksa Cvitanic (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | 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 |
| 2023 | The financial health of a company and the risk of its default: Back to the future. (2023). Fabrizi, Eugenio ; Dainelli, Francesco ; Bet, Gianmarco. In: Papers. RePEc:arx:papers:2302.10140. Full description at Econpapers || Download paper |
| 2023 | Time-inconsistent contract theory. (2023). Possamai, Dylan ; Hern, Camilo. In: Papers. RePEc:arx:papers:2303.01601. Full description at Econpapers || Download paper |
| 2023 | On Data-Driven Drawdown Control with Restart Mechanism in Trading. (2023). Hsieh, Chung-Han. In: Papers. RePEc:arx:papers:2303.02613. Full description at Econpapers || Download paper |
| 2023 | Optimal investment with insurable background risk and nonlinear portfolio allocation frictions. (2023). Serrano, Rafael ; Ramirez, Hugo E. In: Papers. RePEc:arx:papers:2303.04236. Full description at Econpapers || Download paper |
| 2023 | Pitmans Theorem, Black-Scholes Equation, and Derivative Pricing for Fundraisers. (2023). Tsuzuki, Yukihiro. In: Papers. RePEc:arx:papers:2303.13956. Full description at Econpapers || Download paper |
| 2023 | Option pricing using a skew random walk pricing tree. (2023). Fabozzi, Frank J ; Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan. In: Papers. RePEc:arx:papers:2303.17014. Full description at Econpapers || Download paper |
| 2023 | Nash equilibria for relative investors with (non)linear price impact. (2023). Goll, Tamara ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:2303.18161. Full description at Econpapers || Download paper |
| 2023 | Robust utility maximization with intractable claims. (2023). Yu, Xun ; Xu, Zuo Quan ; Li, Yunhong. In: Papers. RePEc:arx:papers:2304.06938. Full description at Econpapers || Download paper |
| 2023 | Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot. (2023). Jacka, Saul D ; Gupta, Puru. In: Papers. RePEc:arx:papers:2309.16047. Full description at Econpapers || Download paper |
| 2023 | Robust Trading in a Generalized Lattice Market. (2023). Wang, Xin-Yu ; Hsieh, Chung-Han. In: Papers. RePEc:arx:papers:2310.11023. Full description at Econpapers || Download paper |
| 2023 | Sensitivity of robust optimization problems under drift and volatility uncertainty. (2023). Park, Kyunghyun ; Neufeld, Ariel ; Bartl, Daniel. In: Papers. RePEc:arx:papers:2311.11248. Full description at Econpapers || Download paper |
| 2023 | Randomisation with moral hazard: a path to existence of optimal contracts. (2023). Possamai, Dylan ; Krvsek, Daniel. In: Papers. RePEc:arx:papers:2311.13278. Full description at Econpapers || Download paper |
| 2023 | Golden parachutes under the threat of accidents. (2023). Rossato, Chiara ; Possamai, Dylan. In: Papers. RePEc:arx:papers:2312.02101. Full description at Econpapers || Download paper |
| 2023 | Optimal investment with insurable background risk and nonlinear portfolio allocation frictions. (2023). Serrano, R ; Ramirez, H. In: Documentos de Trabajo. RePEc:col:000092:020658. Full description at Econpapers || Download paper |
| 2023 | Social contagion and the survival of diverse investment styles. (2023). Hirshleifer, David ; Zhang, Ruixun ; Lo, Andrew W. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:154:y:2023:i:c:s0165188923001173. Full description at Econpapers || Download paper |
| 2023 | Portfolio optimization in the presence of tail correlation. (2023). Chibane, Messaoud ; ben Abdelaziz, Fouad. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000470. Full description at Econpapers || Download paper |
| 2023 | Optimal insurance contracts for a shot-noise Cox claim process and persistent insureds actions. (2023). Cadenillas, Abel ; Liu, Wenyue. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:109:y:2023:i:c:p:69-93. Full description at Econpapers || Download paper |
| 2023 | Institutional investors, heterogeneous benchmarks and the comovement of asset prices. (2023). Hodor, Idan ; Buffa, Andrea M. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:2:p:352-381. Full description at Econpapers || Download paper |
| 2023 | Asset holders’ consumption risk and tests of conditional CCAPM. (2023). Jo, Chanik ; Elkamhi, Redouane. In: Journal of Financial Economics. RePEc:eee:jfinec:v:148:y:2023:i:3:p:220-244. Full description at Econpapers || Download paper |
| 2023 | Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm. (2023). Hamdi, Abdelouahed ; Noorani, Idin ; Mehrdoust, Farshid. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:204:y:2023:i:c:p:660-678. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Risk-sharing and optimal contracts with large exogenous risks. (2023). Villeneuve, Stephane ; Martin, Jessica. In: Post-Print. RePEc:hal:journl:hal-04164688. Full description at Econpapers || Download paper |
| 2023 | Delegated risk-taking, accountability, and outcome bias. (2023). Velthuis, Louis ; Gillenkirch, Robert M. In: Journal of Risk and Uncertainty. RePEc:kap:jrisku:v:67:y:2023:i:2:d:10.1007_s11166-023-09414-2. Full description at Econpapers || Download paper |
| 2023 | Robust risk choice under high-water mark contract. (2023). Yang, Jinqiang ; Mu, Congming. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01152-5. Full description at Econpapers || Download paper |
| 2023 | Growth through learning. (). Ma, Sai ; Jovanovic, Boyan. In: Review of Economic Dynamics. RePEc:red:issued:23-157. Full description at Econpapers || Download paper |
| 2023 | Risk-sharing and optimal contracts with large exogenous risks. (2023). Villeneuve, Stephane ; Martin, Jessica. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:46:y:2023:i:1:d:10.1007_s10203-023-00386-1. Full description at Econpapers || Download paper |
| 2023 | Price impact in Nash equilibria. (2023). Seppi, Duane J ; Larsen, Kasper ; Choi, Jin Hyuk ; Chen, Xiao. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:2:d:10.1007_s00780-023-00499-w. Full description at Econpapers || Download paper |
| 2023 | A continuous-time model of self-protection. (2023). Kazi-Tani, Nabil ; Hernandez-Santibaez, Nicolas ; Bensalem, Sarah. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:2:d:10.1007_s00780-023-00502-4. Full description at Econpapers || Download paper |
| 2023 | Continuous-time incentives in hierarchies. (2023). Hubert, Emma. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:3:d:10.1007_s00780-023-00506-0. Full description at Econpapers || Download paper |
| 2023 | Robust utility maximisation with intractable claims. (2023). Xu, Zuo Quan ; Li, Yunhong ; Yu, Xun. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:4:d:10.1007_s00780-023-00512-2. Full description at Econpapers || Download paper |
Jaksa Cvitanic has edited the books:
| Year | Title | Type | Cited |
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Works by Jaksa Cvitanic:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2016 | Achieving Efficiency in Dynamic Contribution Games In: American Economic Journal: Microeconomics. [Full Text][Citation analysis] | article | 11 |
| 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 | 55 |
| 2012 | Financial Markets Equilibrium with Heterogeneous Agents.(2012) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 55 | paper | |
| 2011 | Financial Markets Equilibrium with Heterogeneous Agents.(2011) In: Review of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 55 | article | |
| 2010 | Price Impact and Portfolio Impact In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 17 |
| 2011 | Price impact and portfolio impact.(2011) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | 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 nother 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 | 38 |
| 1996 | Optimal Consumption Choices for a Large Investor.(1996) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 38 | 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 nother version. Agregated cites: 38 | 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 nother 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 | 25 |
| 2018 | Asset pricing under optimal contracts In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 11 |
| 2018 | Asset pricing under optimal contracts.(2018) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2004 | Leverage decision and manager compensation with choice of effort and volatility In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 39 |
| 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 | 5 |
| 2015 | Competition in Portfolio Management: Theory and Experiment.(2015) In: Management Science. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | 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 | 16 |
| 2008 | Optimal portfolio allocation with higher moments In: Annals of Finance. [Full Text][Citation analysis] | article | 41 |
| 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 | 52 |
| 1998 | Optimal Replication of Contingent Claims under Portfolio Constraints. In: Review of Financial Studies. [Citation analysis] | article | 41 |
| 2008 | Analytic Pricing of Employee Stock Options In: Review of Financial Studies. [Full Text][Citation analysis] | article | 30 |
| 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 | 46 |
| 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 | 78 |
| 2003 | Optimal allocation to hedge funds: an empirical analysis In: Quantitative Finance. [Full Text][Citation analysis] | article | 9 |
| 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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