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Citations of
Jaksa Cvitanic

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

| Working papers | Articles | Books | Access and download statistics

Working papers

  1. Domenico Cuoco & Jaksa Cvitanic, . "Optimal Consumption Choices for a "Large" Investor," Rodney L. White Center for Financial Research Working Papers 04-96, Wharton School Rodney L. White Center for Financial Research.
    Other versions:
    Published as:

    Cited by:

    1. Vathana Ly Vath & Mohamed Mnif & Huyên Pham, 2007. "A model of optimal portfolio selection under liquidity risk and price impact," Finance and Stochastics, Springer, vol. 11(1), pages 51-90, January. [Downloadable!] (restricted)
    2. Elyès Jouini, 2001. "Arbitrage and Control Problems in Finance. Presentation," Post-Print halshs-00167152_v1, HAL. [Downloadable!]
      Other versions:
    3. P. Bank & D. Baum, . "Hedging and Portfolio Optimization in Illiquid Financial Markets," Sonderforschungsbereich 373 2002-53, Humboldt Universitaet Berlin.
    4. P. Bank, . "No Free Lunch for Large Investors," Sonderforschungsbereich 373 1999-37, Humboldt Universitaet Berlin.
    5. Barbara G. Katz & Joel Owen, 2000. "The Emergence of Concentrated Ownership and the Rebalancing of Portfolios due to Shareholder Activism in a Financial Market Equilibrium," Working Papers 00-01, New York University, Leonard N. Stern School of Business, Department of Economics. [Downloadable!]
      Other versions:
    6. Branko Urosevic, 2001. "Moral Hazard and Dynamics of Insider Ownership Stakes," Economics Working Papers 787, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2004. [Downloadable!]

Articles

  1. Cvitanic, Jaksa & Lazrak, Ali & Wang, Tan, 2008. "Implications of the Sharpe ratio as a performance measure in multi-period settings," Journal of Economic Dynamics and Control, Elsevier, vol. 32(5), pages 1622-1649, May. [Downloadable!] (restricted)

    Cited by:

    1. Basak, Suleyman & Chabakauri, Georgy, 2009. "Dynamic Mean-Variance Asset Allocation," CEPR Discussion Papers 7256, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  2. Cadenillas, Abel & Cvitanic, Jaksa & Zapatero, Fernando, 2007. "Optimal risk-sharing with effort and project choice," Journal of Economic Theory, Elsevier, vol. 133(1), pages 403-440, March. [Downloadable!] (restricted)

    Cited by:

    1. Han, Bing & Hirshleifer, David & Persons, John, 2007. "Promotion Tournaments and Capital Rationing," MPRA Paper 6496, University Library of Munich, Germany. [Downloadable!]
      Other versions:

  3. Cadenillas, Abel & Cvitanic, Jaksa & Zapatero, Fernando, 2004. "Leverage decision and manager compensation with choice of effort and volatility," Journal of Financial Economics, Elsevier, vol. 73(1), pages 71-92, July. [Downloadable!] (restricted)

    Cited by:

    1. Jonathan B. Berk & Richard Stanton & Josef Zechner, 2007. "Human Capital, Bankruptcy and Capital Structure," NBER Working Papers 13014, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Dirk Hackbarth & Junjian Miao & Erwan Morellec, 2005. "Capital Structure, Credit Risk, and Macroeconomic Conditions," Boston University - Department of Economics - Macroeconomics Working Papers Series WP2005-005, Boston University - Department of Economics. [Downloadable!]
      Other versions:
    3. Marc Chesney & Rajna Gibson, 2008. "Stock options and managers’ incentives to cheat," Review of Derivatives Research, Springer, vol. 11(1), pages 41-59, March. [Downloadable!] (restricted)
    4. Wei Xiong & Ronnie Sircar, 2004. "Evaluating Incentive Options," Econometric Society 2004 North American Winter Meetings 253, Econometric Society. [Downloadable!]
    5. OZERTURK, Saltuk, 2006. "Hedge markets for executives and corporate agency," CORE Discussion Papers 2006009, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    6. Basak, Suleyman & Pavlova, Anna & Shapiro, Alex, 2006. "Optimal Asset Allocation and Risk Shifting in Money Management," CEPR Discussion Papers 5524, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    7. Hong Liu & Jianjun Miao, 2006. "Managerial Preferences, Corporate Governance, and Financial Structure," Boston University - Department of Economics - Working Papers Series WP2006-020, Boston University - Department of Economics. [Downloadable!]
    8. Basak, Suleyman & Pavlova, Anna & Shapiro, Alex, 2005. "Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management," CEPR Discussion Papers 5006, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  4. Cvitanic, Jaksa & Goukasian, Levon & Zapatero, Fernando, 2003. "Monte Carlo computation of optimal portfolios in complete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 971-986, April. [Downloadable!] (restricted)

    Cited by:

    1. Jaime A. Londo\~no, 2006. "State Dependent Utility," Quantitative Finance Papers math/0603316, arXiv.org. [Downloadable!]
    2. Basak, Suleyman & Chabakauri, Georgy, 2009. "Dynamic Mean-Variance Asset Allocation," CEPR Discussion Papers 7256, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  5. Cvitanic, Jaksa & Wang, Hui, 2001. "On optimal terminal wealth under transaction costs," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 223-231, April. [Downloadable!] (restricted)

    Cited by:

    1. Elyès Jouini, 2001. "Arbitrage and Control Problems in Finance. Presentation," Post-Print halshs-00167152_v1, HAL. [Downloadable!]
      Other versions:

  6. (**), Hui Wang & Jaksa Cvitanic & (*), Walter Schachermayer, 2001. "Utility maximization in incomplete markets with random endowment," Finance and Stochastics, Springer, vol. 5(2), pages 259-272. [Downloadable!] (restricted)

    Cited by:

    1. M. R. Grasselli & T. R. Hurd, 2004. "Indifference pricing and hedging in stochastic volatility models," Quantitative Finance Papers math/0404447, arXiv.org. [Downloadable!]
    2. Gordan Zitkovic, 2005. "Utility Maximization with a Stochastic Clock and an Unbounded Random Endowment," Quantitative Finance Papers math/0503516, arXiv.org. [Downloadable!]
    3. Ioannis Karatzas & Gordan Zitkovic, 2007. "Optimal consumption from investment and random endowment in incomplete semimartingale markets," Quantitative Finance Papers 0706.0051, arXiv.org. [Downloadable!]
    4. Michail Anthropelos & Gordan Zitkovic, 2009. "Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability," Quantitative Finance Papers 0901.3318, arXiv.org. [Downloadable!]
    5. H. Föllmer, . "Probabilistic Aspects of Financial Risk," Sonderforschungsbereich 373 2000-103, Humboldt Universitaet Berlin.
    6. Ying Hu & Peter Imkeller & Matthias Muller, 2005. "Utility maximization in incomplete markets," Quantitative Finance Papers math/0508448, arXiv.org. [Downloadable!]
    7. Huhtala, Heli, 2008. "Along but beyond mean-variance: Utility maximization in a semimartingale model," Research Discussion Papers 5/2008, Bank of Finland. [Downloadable!]
    8. Walter Schachermayer & Mihai Sîrbu & Erik Taflin, 2009. "In which financial markets do mutual fund theorems hold true?," Finance and Stochastics, Springer, vol. 13(1), pages 49-77, January. [Downloadable!] (restricted)
    9. Eduardo S. Schwartz & Claudio Tebaldi, 2006. "Illiquid Assets and Optimal Portfolio Choice," NBER Working Papers 12633, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    10. Wiebke Wittmüß, 2006. "Robust Optimization of Consumption with Random Endowment," SFB 649 Discussion Papers SFB649DP2006-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]

  7. HuyËn Pham & Nizar Touzi & Jaksa Cvitanic, 1999. "A closed-form solution to the problem of super-replication under transaction costs," Finance and Stochastics, Springer, vol. 3(1), pages 35-54. [Downloadable!] (restricted)

    Cited by:

    1. Michael Monoyios & Alberto Montagnoli, 2002. "Efficient Option Pricing with Transaction Costs," Public Policy Discussion Papers 02-22, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
    2. Michael Monoyios & Alberto Montagnoli, 2002. "Efficient Option Pricing with Transaction Costs," Economics and Finance Discussion Papers 02-22, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
    3. C. Atkinson & C. A. Alexandropoulos, 2006. "Pricing a European Basket Option in the Presence of Proportional Transaction Costs," Applied Mathematical Finance, Taylor and Francis Journals, vol. 13(3), pages 191-214, September. [Downloadable!] (restricted)
    4. Frank de Jong, 2005. "Valuation of pension liabilities in incomplete markets," DNB Working Papers 067, Netherlands Central Bank, Research Department. [Downloadable!]

  8. Ioannis Karatzas & Jaksa Cvitanic, 1999. "On dynamic measures of risk," Finance and Stochastics, Springer, vol. 3(4), pages 451-482. [Downloadable!] (restricted)

    Cited by:

    1. Michael Monoyios & Alberto Montagnoli, 2002. "Efficient Option Pricing with Transaction Costs," Public Policy Discussion Papers 02-22, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
    2. Tak Kuen Siu, Hailiang Yang, 2000. "A PDE approach to risk measures of derivatives," Applied Mathematical Finance, Taylor and Francis Journals, vol. 7(3), pages 211-228, September. [Downloadable!] (restricted)
    3. Alexander Cherny, 2007. "Pricing and hedging European options with discrete-time coherent risk," Finance and Stochastics, Springer, vol. 11(4), pages 537-569, October. [Downloadable!] (restricted)
    4. Mingxin Xu, 2006. "Risk measure pricing and hedging in incomplete markets," Annals of Finance, Springer, vol. 2(1), pages 51-71, January. [Downloadable!] (restricted)
      Other versions:
    5. Tak Siu & Howell Tong & Hailiang Yang, 2004. "On Bayesian Value at Risk: From Linear to Non-Linear Portfolios," Asia-Pacific Financial Markets, Springer, vol. 11(2), pages 161-184, June. [Downloadable!] (restricted)
    6. Michael Monoyios & Alberto Montagnoli, 2002. "Efficient Option Pricing with Transaction Costs," Economics and Finance Discussion Papers 02-22, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
    7. H. Föllmer, . "Probabilistic Aspects of Financial Risk," Sonderforschungsbereich 373 2000-103, Humboldt Universitaet Berlin.
    8. Leonel Pérez-Hernández, . "On the Existence of Efficient Hedge for an American Contingent Claim: Discrete Time Market," School of Economics Working Papers EC200505, Universidad de Guanajuato. [Downloadable!]
    9. Alexander Melnikov & Yuliya Romanyuk, 2006. "Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets," Working Papers 06-43, Bank of Canada. [Downloadable!]
      Other versions:
    10. Stephen Lawrence, 2000. "Value At Risk Incorporating Dynamic Portfolio Management," Computing in Economics and Finance 2000 147, Society for Computational Economics. [Downloadable!]
    11. Frank Riedel, 2003. "Dynamic Coherent Risk Measures," Working Papers 03004, Stanford University, Department of Economics. [Downloadable!]

  9. Cuoco, Domenico & Cvitanic, Jaksa, 1998. "Optimal consumption choices for a 'large' investor," Journal of Economic Dynamics and Control, Elsevier, vol. 22(3), pages 401-436, March. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  10. Broadie, Mark & Cvitanic, Jaksa & Soner, H Mete, 1998. "Optimal Replication of Contingent Claims under Portfolio Constraints," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 11(1), pages 59-79.

    Cited by:

    1. Jun Sekine, 2002. "On superhedging under delta constraints," Applied Mathematical Finance, Taylor and Francis Journals, vol. 9(2), pages 103-121, June. [Downloadable!] (restricted)
    2. Dell'Era Mario, M.D., 2008. "Pricing of Double Barrier Options by Spectral Theory," MPRA Paper 17502, University Library of Munich, Germany. [Downloadable!]
    3. Charalambos D. Aliprantis & Rabee Tourky, 2002. "Markets That Don'T Replicate Any Option," Department of Economics - Working Papers Series 832, The University of Melbourne. [Downloadable!]
      Other versions:
    4. Dell'Era Mario, M.D., 2008. "Pricing of the European Options by Spectral Theory," MPRA Paper 17429, University Library of Munich, Germany. [Downloadable!]
    5. Imen Bentahar & Bruno Bouchard, 2006. "Barrier Option Hedging under Constraints: A Viscosity Approach," SFB 649 Discussion Papers SFB649DP2006-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]

Books

  1. Jaksa Cvitanic & Fernando Zapatero, 2004. "Introduction to the Economics and Mathematics of Financial Markets," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262532654.

    Cited by:

    1. Heinz Zimmermann, 2006. "Martingales and Portfolio Decisions: A User’s Guide," Financial Markets and Portfolio Management, Springer, vol. 20(1), pages 75-101, April. [Downloadable!] (restricted)
    2. Franz R. Hahn, 2006. "Finance-Growth Linkage and Risk Diversification. Evidence from OECD Countries," WIFO Working Papers 281, WIFO. [Downloadable!]

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This page was last updated on 2009-11-5.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.