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Jaksa Cvitanic

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Personal Details

First Name: Jaksa
Middle Name:
Last Name: Cvitanic
Suffix:

RePEc Short-ID: pcv1

Email:
Homepage: http://www.hss.caltech.edu/~cvitanic
Postal Address:
Phone:

Affiliation

Division of Social Sciences
California Institute of Technology
Location: Pasadena, California (United States)
Homepage: http://www.hss.caltech.edu/ss
Email:
Phone: 626 395-4065
Fax: 626 405-9841
Postal: 228-77, Caltech, Pasadena CA 91125
Handle: RePEc:edi:dscalus (more details at EDIRC)

Lists

This author is featured on the following reading lists, publication compilations or Wikipedia entries:
  1. Jakša Cvitanić in Wikipedia (English)

Works

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Working papers

  1. Elena Asparouhova & Peter Bossaerts & Jernej Copic & Brad Cornell & Jaksa Cvitanic & Debrah Meloso, 2012. "Competition in Portfolio Management: Theory and Experiment," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University 438, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  2. Jaksa Cvitanic & Elyès Jouini & Semyon Malamud & Clotilde Napp, 2012. "Financial Markets Equilibrium with Heterogeneous Agents," Post-Print, HAL halshs-00488537, HAL.
  3. Jaksa CVITANIC & Semyon MALAMUD, 2010. "Price Impact and Portfolio Impact," Swiss Finance Institute Research Paper Series, Swiss Finance Institute 10-26, Swiss Finance Institute.
  4. Jaksa Cvitanic & Robert Liptser & Boris Rozovskii, 2005. "A filtering approach to tracking volatility from prices observed at random times," Papers math/0509503, arXiv.org.
  5. Jaksa Cvitanic & Levon Goukasian & Fernando Zapatero, 2000. "Monte Carlo Valuation of Optimal Portfolios in Complete Markets," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 1246, Econometric Society.
  6. Domenico Cuoco & Jaksa Cvitanic, . "Optimal Consumption Choices for a "Large" Investor," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 04-96, Wharton School Rodney L. White Center for Financial Research.
  7. Jaksa CVITANIC & Semyon MALAMUD, . "Equilibrium Driven by Discounted Dividend Volatility," Swiss Finance Institute Research Paper Series, Swiss Finance Institute 09-34, Swiss Finance Institute.
  8. Jaksa CVITANIC & Semyon MALAMUD, . "Asset Prices, Funds’ Size and PortfolioWeights in Equilibrium with Heterogeneous and Long-Lived Funds," Swiss Finance Institute Research Paper Series, Swiss Finance Institute 09-03, Swiss Finance Institute.
  9. Jaksa CVITANIC & Semyon MALAMUD, . "Nonmyopic Optimal Portfolios in Viable Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute 10-42, Swiss Finance Institute.

Articles

  1. Paul Brewer & Jaksa Cvitanic & Charles R. Plott, 2013. "Market microstructure design and flash crashes: A simulation approach," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 223-250, November.
  2. Cvitanic, Jaksa & Radas, Sonja & Sikic, Hrvoje, 2011. "Co-development ventures: Optimal time of entry and profit-sharing," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 35(10), pages 1710-1730, October.
  3. Cvitanic, Jaksa & Malamud, Semyon, 2011. "Price impact and portfolio impact," Journal of Financial Economics, Elsevier, Elsevier, vol. 100(1), pages 201-225, April.
  4. Jaksa Cvitanic & Elyès Jouini & Semyon Malamud & Clotilde Napp, 2011. "Financial Markets Equilibrium with Heterogeneous Agents," Review of Finance, European Finance Association, European Finance Association, vol. 16(1), pages 285-321.
  5. Bradford Cornell & Jakša Cvitanić & Levon Goukasian, 2010. "Beliefs regarding fundamental value and optimal investing," Annals of Finance, Springer, Springer, vol. 6(1), pages 83-105, January.
  6. Cvitanic Jaksa & Malamud Semyon, 2010. "Relative Extinction of Heterogeneous Agents," The B.E. Journal of Theoretical Economics, De Gruyter, De Gruyter, vol. 10(1), pages 1-23, February.
  7. Agostino Capponi & Jakša Cvitanić, 2009. "Credit Risk Modeling With Misreporting And Incomplete Information," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., World Scientific Publishing Co. Pte. Ltd., vol. 12(01), pages 83-112.
  8. Jakša Cvitanić & Vassilis Polimenis & Fernando Zapatero, 2008. "Optimal portfolio allocation with higher moments," Annals of Finance, Springer, Springer, vol. 4(1), pages 1-28, January.
  9. Cvitanic Jaksa & Wan Xuhu & Zhang Jianfeng, 2008. "Principal-Agent Problems with Exit Options," The B.E. Journal of Theoretical Economics, De Gruyter, De Gruyter, vol. 8(1), pages 1-43, October.
  10. Jakša Cvitanić & Zvi Wiener & Fernando Zapatero, 2008. "Analytic Pricing of Employee Stock Options," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 21(2), pages 683-724, April.
  11. 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, Elsevier, vol. 32(5), pages 1622-1649, May.
  12. Jakša Cvitani\'{c} & Levon Goukasian & Fernando Zapatero, 2007. "Optimal Risk Taking with Flexible Income," Management Science, INFORMS, INFORMS, vol. 53(10), pages 1594-1603, October.
  13. Cadenillas, Abel & Cvitanic, Jaksa & Zapatero, Fernando, 2007. "Optimal risk-sharing with effort and project choice," Journal of Economic Theory, Elsevier, Elsevier, vol. 133(1), pages 403-440, March.
  14. Cadenillas, Abel & Cvitanic, Jaksa & Zapatero, Fernando, 2004. "Leverage decision and manager compensation with choice of effort and volatility," Journal of Financial Economics, Elsevier, Elsevier, vol. 73(1), pages 71-92, July.
  15. J. Cvitanic & A. Lazrak & L. Martellini & F. Zapatero, 2003. "Optimal allocation to hedge funds: an empirical analysis," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 3(1), pages 28-39.
  16. Cvitanic, Jaksa & Goukasian, Levon & Zapatero, Fernando, 2003. "Monte Carlo computation of optimal portfolios in complete markets," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 27(6), pages 971-986, April.
  17. (**), Hui Wang & Jaksa Cvitanic & (*), Walter Schachermayer, 2001. "Utility maximization in incomplete markets with random endowment," Finance and Stochastics, Springer, Springer, vol. 5(2), pages 259-272.
  18. Cvitanic, Jaksa & Wang, Hui, 2001. "On optimal terminal wealth under transaction costs," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 223-231, April.
  19. Ioannis Karatzas & Jaksa Cvitanic, 1999. "On dynamic measures of risk," Finance and Stochastics, Springer, Springer, vol. 3(4), pages 451-482.
  20. Jakša Cvitanić, 1999. "Introduction," Asia-Pacific Financial Markets, Springer, Springer, vol. 6(1), pages 1-2, January.
  21. HuyËn Pham & Nizar Touzi & Jaksa Cvitanic, 1999. "A closed-form solution to the problem of super-replication under transaction costs," Finance and Stochastics, Springer, Springer, vol. 3(1), pages 35-54.
  22. Jakša Cvitanić, 1999. "Methods of Partial Hedging," Asia-Pacific Financial Markets, Springer, Springer, vol. 6(1), pages 7-35, January.
  23. Cuoco, Domenico & Cvitanic, Jaksa, 1998. "Optimal consumption choices for a 'large' investor," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 22(3), pages 401-436, March.
  24. Broadie, Mark & Cvitanic, Jaksa & Soner, H Mete, 1998. "Optimal Replication of Contingent Claims under Portfolio Constraints," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 11(1), pages 59-79.

Books

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

NEP Fields

2 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBE: Cognitive & Behavioural Economics (1) 2012-06-05. Author is listed
  2. NEP-EXP: Experimental Economics (1) 2012-06-05. Author is listed

Statistics

This author is among the top 5% authors according to these criteria:
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