Author Page for Jaksa Cvitanic

California Institute of Technology - Division of the Humanities and Social Sciences, Boston University, Shanghai Jiao Tong University - Antai College of Economics & Management and Hightree Advisors LLC

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Citation 2

Abstract:

3.

On Dynamic Measures of Risk

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Citation 8

2

On Dynamic Measures of Risk

Number of pages: 28 Posted: 01 Sep 1998

Jaksa Cvitanic and Ioannis Karatzas

California Institute of Technology - Division of the Humanities and Social Sciences and Columbia University - Department of Statistics

Downloads 1,064 (43,570)

Citation 8

Abstract:

On Dynamic Measures of Risk

Posted: 30 Sep 1999

Jaksa Cvitanic and Ioannis Karatzas

California Institute of Technology - Division of the Humanities and Social Sciences and Columbia University - Department of Statistics

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4.

Financial Markets Equilibrium with Heterogeneous Agents

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Citation 17

2

Financial Markets Equilibrium with Heterogeneous Agents

Number of pages: 53 Posted: 13 Mar 2010

Jaksa Cvitanic, Elyes Jouini, Semyon Malamud and Clotilde Napp

California Institute of Technology - Division of the Humanities and Social Sciences, Univ. Paris Dauphine - CEREMADE, Ecole Polytechnique Federale de Lausanne and CNRS and Université Paris-Dauphine

Downloads 472 (126,045)

Citation 2

Abstract:

Financial Markets Equilibrium with Heterogeneous Agents

Swiss Finance Institute Research Paper No. 09-45

Number of pages: 56 Posted: 10 Dec 2009

Jaksa Cvitanic, Elyes Jouini, Semyon Malamud and Clotilde Napp

California Institute of Technology - Division of the Humanities and Social Sciences, Univ. Paris Dauphine - CEREMADE, Ecole Polytechnique Federale de Lausanne and CNRS and Université Paris-Dauphine

Downloads 414 (147,508)

Citation 15

Abstract:

5.

Optimal Replication of Contingent Claims Under Portfolio Constraints

Number of pages: 19 Posted: 31 Oct 1996

Mark Broadie, Jaksa Cvitanic and Halil Mete Soner

Columbia University - Columbia Business School - Decision Risk and Operations, California Institute of Technology - Division of the Humanities and Social Sciences and Koc University - College of Administrative Sciences and Economics

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Citation 5

Abstract:

6.

Analytic Pricing of Employee Stock Options

Number of pages: 43 Posted: 03 Nov 2004

Jaksa Cvitanic, Fernando Zapatero and Zvi Wiener

California Institute of Technology - Division of the Humanities and Social Sciences, Boston University - Questrom School of Business and Hebrew University of Jerusalem - Jerusalem School of Business Administration

Downloads 809 (64,540)

Citation 12

Abstract:

7.

Implications of Sharpe Ratio as a Performance Measure in Multi-Period Settings

Number of pages: 35 Posted: 12 Feb 2007

Jaksa Cvitanic, Tan Wang and Ali Lazrak

California Institute of Technology - Division of the Humanities and Social Sciences, University of British Columbia (UBC) - Division of Finance and University of British Columbia (UBC) Sauder School of Business

Downloads 586 (97,861)

Citation 4

Abstract:

8.

Asset Pricing under Optimal Contracts

Number of pages: 43 Posted: 09 Feb 2017 Last Revised: 17 Oct 2017

Jaksa Cvitanic and Hao Xing

California Institute of Technology - Division of the Humanities and Social Sciences and Boston University - Questrom School of Business

Downloads 502 (118,540)

Citation 2

Abstract:

9.

Price Impact and Portfolio Impact

Swiss Finance Institute Research Paper No. 10-26

Number of pages: 80 Posted: 18 Jun 2010

Jaksa Cvitanic and Semyon Malamud

California Institute of Technology - Division of the Humanities and Social Sciences and Ecole Polytechnique Federale de Lausanne

Downloads 458 (132,313)

Citation 16

Abstract:

10.

Optimal Compensation with Adverse Selection and Dynamic Actions

Number of pages: 39 Posted: 21 Mar 2006

Jaksa Cvitanic and Jianfeng Zhang

California Institute of Technology - Division of the Humanities and Social Sciences and University of Southern California - Department of Mathematics

Downloads 422 (145,703)

Citation 1

Abstract:

11.

Large Tournament Games

Number of pages: 57 Posted: 12 Feb 2018 Last Revised: 05 Nov 2018

Erhan Bayraktar, Jaksa Cvitanic and Yuchong Zhang

University of Michigan at Ann Arbor - Department of Mathematics, California Institute of Technology - Division of the Humanities and Social Sciences and University of Toronto - Department of Statistics

Downloads 358 (175,302)

Citation 9

Abstract:

12.

Optimal Fund Menus

Downloads 341 (184,947)

Citation 1

2

Optimal Fund Menus

Swiss Finance Institute Research Paper No. 18-47

Number of pages: 77 Posted: 12 Jul 2018 Last Revised: 26 May 2024

Jaksa Cvitanic and Julien Hugonnier

California Institute of Technology - Division of the Humanities and Social Sciences and Centre for Economic Policy Research (CEPR)

Downloads 331 (189,295)

Citation 1

Abstract:

Optimal Fund Menus

CEPR Discussion Paper No. DP13127

Number of pages: 80 Posted: 17 Sep 2018 Last Revised: 05 Nov 2018

Jaksa Cvitanic and Julien Hugonnier

California Institute of Technology - Division of the Humanities and Social Sciences and Centre for Economic Policy Research (CEPR)

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Abstract:

13.

Competition in Portfolio Management: Theory and Experiment

Number of pages: 47 Posted: 18 Mar 2010 Last Revised: 03 Dec 2012

Elena N. Asparouhova, Peter Bossaerts, Jernej Copic, Bradford Cornell, Jaksa Cvitanic and Debrah Meloso

University of Utah - David Eccles School of Business, University of Cambridge, Centre National de la Recherche Scientifique, Anderson Graduate School of Management, UCLA, California Institute of Technology - Division of the Humanities and Social Sciences and Toulouse Business School - TBS Education

Downloads 319 (198,555)

Citation 4

Abstract:

14.

Honesty Via Choice-Matching

American Economic Review: Insights, American Economic Review, Forthcoming

Number of pages: 28 Posted: 25 Jan 2017 Last Revised: 23 Sep 2018

Jaksa Cvitanic, Drazen Prelec, Blake Riley and Benjamin Tereick

California Institute of Technology - Division of the Humanities and Social Sciences, Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Illinois at Urbana-Champaign, Department of Economics and Erasmus University Rotterdam (EUR), Erasmus School of Economics (ESE)

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Citation 5

Abstract:

15.

Executive Stock Options as a Screening Mechanism

Downloads 292 (218,157)

Citation 3

2

Executive Stock Options as a Screening Mechanism

Number of pages: 30 Posted: 24 Jun 2005 Last Revised: 20 Feb 2012

Abel Cadenillas, Jaksa Cvitanic and Fernando Zapatero

University of Alberta - Department of Mathematical and Statistical Sciences, California Institute of Technology - Division of the Humanities and Social Sciences and Boston University - Questrom School of Business

Downloads 170 (365,950)

Citation 1

Abstract:

Executive Stock Options as a Screening Mechanism

Number of pages: 31 Posted: 04 Mar 2005

Abel Cadenillas, Fernando Zapatero and Jaksa Cvitanic

University of Alberta - Department of Mathematical and Statistical Sciences, Boston University - Questrom School of Business and California Institute of Technology - Division of the Humanities and Social Sciences

Downloads 122 (482,265)

Citation 2

Abstract:

16.

Equilibrium Asset Pricing and Portfolio Choice with Heterogeneous Preferences

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Citation 8

2

Equilibrium Asset Pricing and Portfolio Choice with Heterogeneous Preferences

Paris December 2009 Finance International Meeting AFFI - EUROFIDAI

Number of pages: 58 Posted: 10 Oct 2009 Last Revised: 22 Jun 2014

Jaksa Cvitanic and Semyon Malamud

California Institute of Technology - Division of the Humanities and Social Sciences and Ecole Polytechnique Federale de Lausanne

Downloads 161 (383,810)

Citation 3

Abstract:

Equilibrium Driven by Discounted Dividend Volatility

Swiss Finance Institute Research Paper No. 09-34

Number of pages: 46 Posted: 08 Sep 2009

Jaksa Cvitanic and Semyon Malamud

California Institute of Technology - Division of the Humanities and Social Sciences and Ecole Polytechnique Federale de Lausanne

Downloads 121 (485,439)

Citation 5

Abstract:

17.

Credit Risk Modeling with Misreporting and Incomplete Information

Downloads 268 (238,232)

2

Credit Risk Modeling with Misreporting and Incomplete Information

International Journal of Theoretical and Applied Finance, Vol. 12, 2009

Number of pages: 29 Posted: 19 Dec 2008 Last Revised: 08 Feb 2009

Agostino Capponi and Jaksa Cvitanic

Columbia University - Department of Industrial Engineering and Operations Research and California Institute of Technology - Division of the Humanities and Social Sciences

Downloads 268 (236,656)

Abstract:

Credit Risk Modeling with Misreporting and Incomplete Information

International Journal of Theoretical and Applied Finance, Vol. 12, No. 1, pp. 83-112, 2009

Posted: 02 Dec 2009

Agostino Capponi and Jaksa Cvitanic

Columbia University - Department of Industrial Engineering and Operations Research and California Institute of Technology - Division of the Humanities and Social Sciences

Abstract:

18.

Asset Prices, Funds' Size and Portfolio Weights in Equilibrium with Heterogeneous and Long-Lived Funds

Downloads 175 (357,288)

2

Asset Prices, Funds' Size and Portfolio Weights in Equilibrium with Heterogeneous and Long-Lived Funds

Swiss Finance Institute Research Paper No. 09-03

Number of pages: 60 Posted: 16 Feb 2009

Jaksa Cvitanic and Semyon Malamud

California Institute of Technology - Division of the Humanities and Social Sciences and Ecole Polytechnique Federale de Lausanne

Downloads 121 (485,439)

Abstract:

Asset Prices, Funds' Size and Portfolio Weights in Equilibrium with Heterogeneous and Long-Lived Funds

Number of pages: 58 Posted: 04 Feb 2009

Jaksa Cvitanic and Semyon Malamud

California Institute of Technology - Division of the Humanities and Social Sciences and Ecole Polytechnique Federale de Lausanne

Downloads 54 (796,148)

Abstract:

19.

On Managerial Risk-Taking Incentives When Compensation May Be Hedged Against

Number of pages: 23 Posted: 04 Mar 2008

Jaksa Cvitanic

California Institute of Technology - Division of the Humanities and Social Sciences

Downloads 146 (416,660)

Abstract:

20.

Nonmyopic Optimal Portfolios in Viable Markets

Swiss Finance Institute Research Paper No. 10-42

Number of pages: 55 Posted: 20 Oct 2010

Jaksa Cvitanic and Semyon Malamud

California Institute of Technology - Division of the Humanities and Social Sciences and Ecole Polytechnique Federale de Lausanne

Downloads 132 (451,288)

Citation 1

Abstract:

21.

Achieving Efficiency in Dynamic Contribution Games

American Economic Journal: Microeconomics, 2016

Number of pages: 34 Posted: 02 Nov 2014 Last Revised: 12 Apr 2017

Jaksa Cvitanic and George Georgiadis

California Institute of Technology - Division of the Humanities and Social Sciences and Northwestern University - Department of Management & Strategy

Downloads 78 (646,519)

Citation 2

Abstract:

22.

Honest Binary Choice: The Two Player Case

Number of pages: 39 Posted: 22 Nov 2024

Jaksa Cvitanic, Drazen Prelec, Sonja Radas and Hrvoje Sikic

California Institute of Technology - Division of the Humanities and Social Sciences, Massachusetts Institute of Technology (MIT) - Sloan School of Management, affiliation not provided to SSRN and affiliation not provided to SSRN

Downloads 23 (1,061,843)

Abstract:

23.

Market Microstructure Design and Flash Crashes: A Simulation Approach

Posted: 08 Dec 2012 Last Revised: 05 Jan 2013

Charles R. Plott, Paul Brewer and Jaksa Cvitanic

California Institute of Technology (Caltech) - Division of the Humanities and Social Sciences, Economic & Financial Technology Consulting LLC and California Institute of Technology - Division of the Humanities and Social Sciences

Abstract:

24.

Beliefs Regarding Fundamental Value and Optimal Investing

Second Singapore International Conference on Finance 2008

Posted: 20 Mar 2008 Last Revised: 09 Feb 2019

Jaksa Cvitanic, Bradford Cornell and Levon Goukasian

California Institute of Technology - Division of the Humanities and Social Sciences, Anderson Graduate School of Management, UCLA and Pepperdine University - Business Division

Abstract:

25.

Optimal Risk Taking with Flexible Income

AFA 2008 New Orleans Meetings Paper

Posted: 09 Mar 2006 Last Revised: 09 Feb 2019

Jaksa Cvitanic, Levon Goukasian and Fernando Zapatero

California Institute of Technology - Division of the Humanities and Social Sciences, Pepperdine University - Business Division and Boston University - Questrom School of Business

Abstract:

26.

Hedging Options for a Large Investor and Forward-Backward Sde's

Posted: 20 Dec 1998

Jaksa Cvitanic and Jin Ma

California Institute of Technology - Division of the Humanities and Social Sciences and Purdue University - Department of Mathematics

Abstract:

27.

A Closed-Form Solution to the Problem of Super-Replication Under Transaction Costs

Finance and Stochastics, Vol. 3, Iss. 1, 1999

Posted: 24 Nov 1998

Jaksa Cvitanic, Huyen Pham and Nizar Touzi

California Institute of Technology - Division of the Humanities and Social Sciences, Université Paris-Est Marne la Vallée (UPEMLV) and Université Paris Dauphine - CEREMADE

Abstract:

28.

Nonlinear Financial Markets: Hedging and Portfolio Optimization

Posted: 22 Aug 1998

Jaksa Cvitanic

California Institute of Technology - Division of the Humanities and Social Sciences

Abstract:

29.

Optimal Consumption Choices for a 'Large' Investor

Rodney L. White Center for Financial Research Working Paper Series #04-96

Posted: 21 May 1998

Domenico Cuoco and Jaksa Cvitanic

University of Pennsylvania - Finance Department and California Institute of Technology - Division of the Humanities and Social Sciences

Jaksa Cvitanic

California Institute of Technology - Division of the Humanities and Social Sciences

Professor of Mathematical Finance

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Scholarly Papers (29)

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