.
Cvitanic, Jaksa's
Scholarly Papers
Click on the title of any column to sort the table by that
column.
Aggregate Statistics
Total 7,414
Total Citations 80
1.
High Frequency Traders and Asset Prices
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Kirilenko, Andrei A. MIT Sloan School of Management
2,138(2,524)
10
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Kirilenko, Andrei A. MIT Sloan School of Management
435
10
high frequency trading, algorithmic trading, asset prices, limit order market
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Kirilenko, Andrei A. MIT Sloan School of Management
1,703
10
high-frequency trading, algorithmic trading, asset prices, limit order market
2.
On Dynamic Measures of Risk
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Karatzas, Ioannis Columbia University - Department of Statistics
Posted:
01 Sep 98
Last Revised:
30 Sep 99
820(12,646)
17
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Karatzas, Ioannis Columbia University - Department of Statistics
0
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Karatzas, Ioannis Columbia University - Department of Statistics
820
17
3.
Broadie, Mark Columbia University - Columbia Business School - Decision Risk and Operations
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Soner, Halil Mete Koc University - College of Administrative Sciences and Economics
722(15,251)
14
4.
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Zapatero, Fernando University of Southern California - Marshall School of Business
Wiener, Zvi Hebrew University of Jerusalem - Jerusalem School of Business Administration
571(21,327)
9
Employee stock options, early exercise, analytic formula
5.
Financial Markets Equilibrium with Heterogeneous Agents
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Jouini, Elyes Universite de Paris 9 Dauphine - CEREMADE
Malamud, Semyon Ecole Polytechnique Federale de Lausanne and Swiss Finance Institute
Napp, Clotilde Université Paris-Dauphine - CNRS-DRM
Posted:
10 Dec 09
Last Revised:
13 Mar 10
514(24,646)
10
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Jouini, Elyes Universite de Paris 9 Dauphine - CEREMADE
Malamud, Semyon Ecole Polytechnique Federale de Lausanne and Swiss Finance Institute
Napp, Clotilde Université Paris-Dauphine - CNRS-DRM
258
10
Heterogeneous beliefs, heterogeneous preferences, heterogeneous time preference rates, contracyclical market price of risk, procyclical interest rate, term structure of interest rates, preferred habitat theory, long term risk
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Jouini, Elyes Universite de Paris 9 Dauphine - CEREMADE
Malamud, Semyon Ecole Polytechnique Federale de Lausanne and Swiss Finance Institute
Napp, Clotilde Université Paris-Dauphine - CNRS-DRM
256
10
equilibrium, heterogeneous agents, volatility, optimal portfolios, survival, yield curve, long yield
6.
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Wang, Tan University of British Columbia (UBC) - Division of Finance
Lazrak, Ali University of British Columbia Sauder School of Business
460(28,406)
6
Sharpe Ratio, Performance Measures, Money Managers
7.
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Goukasian, Levon Pepperdine University - Business Division
Zapatero, Fernando University of Southern California - Marshall School of Business
453(29,012)
1
Utility Maximization, Optimal Portfolio Selection, Optimal Effort
8.
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Zhang, Jianfeng University of Southern California - Department of Mathematics
315(45,465)
2
Adverse selection, moral hazard, principal-agent problems, contracts, continuous-time models
9.
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Malamud, Semyon Ecole Polytechnique Federale de Lausanne and Swiss Finance Institute
299(48,333)
3
Survival, Price Impact, Equilibrium, Heterogeneous Agents, Optimal Portfolios
10.
Credit Risk Modeling with Misreporting and Incomplete Information
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
Capponi, Agostino Purdue University - School of Industrial Engineering
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Posted:
19 Dec 08
Last Revised:
14 Feb 10
211(70,696)
Capponi, Agostino Purdue University - School of Industrial Engineering
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
0
Credit risk, incomplete information, calibration, nonlinear filtering, Parmalat, structural models
Capponi, Agostino Purdue University - School of Industrial Engineering
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Posted:
19 Dec 08
Last Revised:
08 Feb 09
211
Credit risk, incomplete information, calibration, nonlinear filtering, Parmalat
11.
Executive Stock Options as a Screening Mechanism
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
Cadenillas, Abel University of Alberta - Department of Mathematical and Statistical Sciences
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Zapatero, Fernando University of Southern California - Marshall School of Business
Posted:
04 Mar 05
Last Revised:
20 Feb 12
182(81,853)
3
Cadenillas, Abel University of Alberta - Department of Mathematical and Statistical Sciences
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Zapatero, Fernando University of Southern California - Marshall School of Business
Posted:
24 Jun 05
Last Revised:
20 Feb 12
116
3
Executive Stock Options, Incomplete Information
Cadenillas, Abel University of Alberta - Department of Mathematical and Statistical Sciences
Zapatero, Fernando University of Southern California - Marshall School of Business
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
66
3
Executive stock options, optimal compensation
12.
Equilibrium Asset Pricing and Portfolio Choice with Heterogeneous Preferences
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Malamud, Semyon Ecole Polytechnique Federale de Lausanne and Swiss Finance Institute
Posted:
08 Sep 09
Last Revised:
08 Dec 09
149(98,432)
3
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Malamud, Semyon Ecole Polytechnique Federale de Lausanne and Swiss Finance Institute
Posted:
10 Oct 09
Last Revised:
08 Dec 09
83
3
equilibrium, heterogeneous agents, volatility, optimal portfolios, stochastic opportunity set
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Malamud, Semyon Ecole Polytechnique Federale de Lausanne and Swiss Finance Institute
66
3
equilibrium, heterogeneous agents, volatility, optimal portfolios
13.
Asparouhova, Elena N. University of Utah - David Eccles School of Business
Bossaerts, Peter California Institute of Technology
Copic, Jernej Yale University - Cowles Foundation
Cornell, Bradford California Institute of Technology
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Meloso, Debrah Bocconi University - Department of Decision Sciences
Posted:
18 Mar 10
Last Revised:
03 Dec 12
138(105,124)
asset pricing, CAPM, delegated portfolio management, mutual fund flows, experimental finance
14.
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Cornell, Bradford California Institute of Technology
Goukasian, Levon Pepperdine University - Business Division
Posted:
20 Mar 08
Last Revised:
10 Jun 08
135(107,112)
1
Investor beliefs, mispricing, optimal portfolios, range reversion, risk premium
15.
Asset Prices, Funds' Size and Portfolio Weights in Equilibrium with Heterogeneous and Long-Lived Funds
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Malamud, Semyon Ecole Polytechnique Federale de Lausanne and Swiss Finance Institute
Posted:
04 Feb 09
Last Revised:
16 Feb 09
104(131,425)
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Malamud, Semyon Ecole Polytechnique Federale de Lausanne and Swiss Finance Institute
83
Asset pricing, equilibrium, heterogeneous agents
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Malamud, Semyon Ecole Polytechnique Federale de Lausanne and Swiss Finance Institute
21
16.
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
93(141,873)
1
compensation, incentives, hedging, specific and systematic risk
17.
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Malamud, Semyon Ecole Polytechnique Federale de Lausanne and Swiss Finance Institute
81(154,947)
Heterogeneous Agents, Nonmyopic Optimal Portfolios, Hedging Demand, Equilibrium
18.
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Ma, Jin Purdue University - Department of Mathematics
Zhang, Jianfeng University of Southern California - Department of Mathematics
29(245,747)
Hedging Options, Malliavin Calculus, Monte Carlo Methods
19.
Plott, Charles R. California Institute of Technology - Division of the Humanities and Social Sciences
Brewer, Paul J. Self Employed Consultant
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Posted:
08 Dec 12
Last Revised:
05 Jan 13
Market Microstructure, flash crash, high frequency trading, call markets, market regulation, market simulation
20.
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Ma, Jin Purdue University - Department of Mathematics
21.
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
Pham, Huyen Université Paris-Est Marne la Vallée (UPEMLV)
Touzi, Nizar Université Paris-Dauphine - CEREMADE
22.
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
23.
Cuoco, Domenico University of Pennsylvania - Finance Department
Cvitanic, Jaksa California Institute of Technology - Division of the Humanities and Social Sciences
