Gordan Zitkovic

University of Texas at Austin

2317 Speedway

Austin, TX 78712

United States

SCHOLARLY PAPERS

4

DOWNLOADS

193

SSRN CITATIONS
Rank 36,320

SSRN RANKINGS

Top 36,320

in Total Papers Citations

1

CROSSREF CITATIONS

21

Scholarly Papers (4)

1.

Incomplete Stochastic Equilibria with Exponential Utilities: Close to Pareto Optimality

Number of pages: 35 Posted: 28 May 2015
Constantinos Kardaras, Hao Xing and Gordan Zitkovic
London School of Economics & Political Science (LSE), Boston University - Questrom School of Business and University of Texas at Austin
Downloads 90 (351,188)
Citation 17

Abstract:

Loading...

backward stochastic differential equations, general equilibrium, incomplete markets, Radner equilibrium, systems of BSDE

2.

Facelifting in Utility Maximization

Swiss Finance Institute Research Paper No. 14-61
Number of pages: 26 Posted: 21 Oct 2014
Kasper Larsen, Halil Mete Soner and Gordan Zitkovic
Rutgers, The State University of New Jersey, ETH Zürich and University of Texas at Austin
Downloads 58 (447,287)

Abstract:

Loading...

Boundary layer, convex analysis, convex duality, facelift, financial mathematics, incomplete markets, Markov processes, utility-maximization, unspanned endowment.

3.

Conditional Davis Pricing

Swiss Finance Institute Research Paper No. 18-39
Number of pages: 35 Posted: 09 May 2018 Last Revised: 21 Aug 2018
Kasper Larsen, Halil Mete Soner and Gordan Zitkovic
Rutgers, The State University of New Jersey, ETH Zürich and University of Texas at Austin
Downloads 44 (503,911)
Citation 1

Abstract:

Loading...

Incomplete markets, utility-maximization, unspanned endowment, local martingales, linearization, directional derivative

4.

Optimal Investment with an Unbounded Random Endowment and Utility-Based Pricing

Mathematical Finance, Vol. 19, Issue 1, pp. 129-159, January 2009
Number of pages: 31 Posted: 17 Jan 2009
Mark P. Owen and Gordan Zitkovic
affiliation not provided to SSRN and University of Texas at Austin
Downloads 1 (791,766)
Citation 1
  • Add to Cart

Abstract:

Loading...