Information about:
Jaksa Cvitanic

Other registered authors

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 (registered authors at this institution)

Working papers

1. Jaksa Cvitanic & Levon Goukasian & Fernando Zapatero, 2000. "Monte Carlo Valuation of Optimal Portfolios in Complete Markets," Econometric Society World Congress 2000 Contributed Papers 1246, Econometric Society. [Downloadable!]

2. Jaksa CVITANIC & Semyon MALAMUD, . "Asset Prices, Funds’ Size and PortfolioWeights in Equilibrium with Heterogeneous and Long-Lived Funds," Swiss Finance Institute Research Paper Series 09-03, Swiss Finance Institute. [Downloadable!]

3. 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:
   • Domenico Cuoco & Jaksa Cvitanic, . "Optimal Consumption Choices for a "Large" Investor," Rodney L. White Center for Financial Research Working Papers 4-96, Wharton School Rodney L. White Center for Financial Research.
   
   Published as:
   • 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)

1. Agostino Capponi & Jakå A Cvitaniä†, 2009. "Credit Risk Modeling With Misreporting And Incomplete Information," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(01), pages 83-112. [Downloadable!] (restricted)

2. 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)

3. Jaksa Cvitanic & Xuhu Wan & Jianfeng Zhang, 2008. "Principal-Agent Problems with Exit Options," Contributions to Theoretical Economics, Berkeley Electronic Press, vol. 8(1), pages 1474-1474. [Downloadable!] (restricted)

4. Jakša Cvitanić & Vassilis Polimenis & Fernando Zapatero, 2008. "Optimal portfolio allocation with higher moments," Annals of Finance, Springer, vol. 4(1), pages 1-28, January. [Downloadable!] (restricted)

5. Jakša Cvitanić & Zvi Wiener & Fernando Zapatero, 2008. "Analytic Pricing of Employee Stock Options," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 21(2), pages 683-724, April. [Downloadable!] (restricted)

6. 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)

7. 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)

8. 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)

9. 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)

10. (**), 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)

11. 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)

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

13. Jakša Cvitanić, 1999. "Methods of Partial Hedging," Asia-Pacific Financial Markets, Springer, vol. 6(1), pages 7-35, January. [Downloadable!] (restricted)

14. Jakša Cvitanić, 1999. "Introduction," Asia-Pacific Financial Markets, Springer, vol. 6(1), pages 1-2, January. [Downloadable!] (restricted)

15. 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:
    • 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.
    • Domenico Cuoco & Jaksa Cvitanic, . "Optimal Consumption Choices for a "Large" Investor," Rodney L. White Center for Financial Research Working Papers 4-96, Wharton School Rodney L. White Center for Financial Research.

16. 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.

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.

This page was last updated on 2009-6-24.