Jaksa Cvitanic

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

Professor of Mathematical Finance

1200 East California Blvd.

Pasadena, CA 91125

United States

http://www.hss.caltech.edu/~cvitanic/

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

SCHOLARLY PAPERS

28

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113

CROSSREF CITATIONS

87

Scholarly Papers (28)

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1.

High Frequency Traders and Asset Prices

Downloads 4,266 ( 4,134)
Citation 22

High Frequency Traders and Asset Prices

Number of pages: 30 Posted: 15 Mar 2010 Last Revised: 06 Aug 2019
Jaksa Cvitanic and Andrei A. Kirilenko
California Institute of Technology - Division of the Humanities and Social Sciences and University of Cambridge - Finance
Downloads 3,300 (6,278)
Citation 23

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high-frequency trading, algorithmic trading, asset prices, limit order market

High Frequency Traders and Asset Prices

Number of pages: 30 Posted: 15 Mar 2010
Jaksa Cvitanic and Andrei A. Kirilenko
California Institute of Technology - Division of the Humanities and Social Sciences and University of Cambridge - Finance
Downloads 966 (41,077)
Citation 32

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high frequency trading, algorithmic trading, asset prices, limit order market

2.

On Dynamic Measures of Risk

Downloads 987 (40,467)
Citation 8

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 987 (39,865)
Citation 8

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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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3.

Pi Portfolio Management: Reaching Goals While Avoiding Losses

Number of pages: 59 Posted: 07 Sep 2019 Last Revised: 05 Apr 2023
Jaksa Cvitanic, Steven Kou, Xiangwei Wan and Karyn Williams
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
Downloads 957 (42,273)
Citation 2

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portfolio selection, portfolio management, goal investing, mean-variance, prospect theory

4.

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
Downloads 830 (51,425)
Citation 5

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5.

Financial Markets Equilibrium with Heterogeneous Agents

Downloads 790 (54,959)
Citation 31

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 440 (113,297)
Citation 2

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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

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 350 (147,352)
Citation 15

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equilibrium, heterogeneous agents, volatility, optimal portfolios, survival, yield curve, long yield

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 736 (60,430)
Citation 12

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Employee stock options, early exercise, analytic formula

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 563 (84,923)
Citation 4

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Sharpe Ratio, Performance Measures, Money Managers

8.

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 443 (113,593)
Citation 13

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Survival, Price Impact, Equilibrium, Heterogeneous Agents, Optimal Portfolios

9.

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 430 (117,655)
Citation 2

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Asset-Management, Equilibrium Asset Pricing, Optimal Contracts, Principal-Agent Problem

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 409 (124,702)
Citation 1

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Adverse selection, moral hazard, principal-agent problems, contracts, continuous-time models

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 332 (156,977)
Citation 9

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Tournaments, rank-based rewards, mechanism design, mean field games, bifurcation diagram of Nash equilibria

12.

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 298 (175,972)
Citation 4

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asset pricing, CAPM, delegated portfolio management, mutual fund flows, experimental finance

13.

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)
Downloads 274 (191,963)
Citation 5

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Proper scoring rules, Bayesian Truth Serum, truth-telling equilibria

14.

Optimal Fund Menus

Downloads 266 (197,757)
Citation 1

Optimal Fund Menus

Swiss Finance Institute Research Paper No. 18-47
Number of pages: 77 Posted: 12 Jul 2018 Last Revised: 13 Aug 2018
Jaksa Cvitanic and Julien Hugonnier
California Institute of Technology - Division of the Humanities and Social Sciences and École Polytechnique Fédérale de Lausanne
Downloads 266 (196,759)
Citation 1

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Mutual fund menus, screening, linear pricing, closet indexing

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 École Polytechnique Fédérale de Lausanne
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asset bundling, linear pricing, Mutual fund menus, screening

15.

Equilibrium Asset Pricing and Portfolio Choice with Heterogeneous Preferences

Downloads 258 (203,833)
Citation 7

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 148 (337,163)
Citation 3

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equilibrium, heterogeneous agents, volatility, optimal portfolios, stochastic opportunity set

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 110 (423,611)
Citation 5

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equilibrium, heterogeneous agents, volatility, optimal portfolios

16.

Executive Stock Options as a Screening Mechanism

Downloads 256 (205,421)
Citation 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 154 (326,121)
Citation 1

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Executive Stock Options, Incomplete Information

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 102 (447,609)
Citation 2

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Executive stock options, optimal compensation

17.

Credit Risk Modeling with Misreporting and Incomplete Information

Downloads 252 (208,625)

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 252 (207,732)

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Credit risk, incomplete information, calibration, nonlinear filtering, Parmalat

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

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Credit risk, incomplete information, calibration, nonlinear filtering, Parmalat, structural models

18.

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

Downloads 154 (325,825)

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 109 (426,441)

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Asset pricing, equilibrium, heterogeneous agents

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 45 (704,189)

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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 133 (365,990)

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compensation, incentives, hedging, specific and systematic risk

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 117 (402,770)
Citation 1

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Heterogeneous Agents, Nonmyopic Optimal Portfolios, Hedging Demand, Equilibrium

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 68 (567,746)
Citation 2

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Contribution games, dynamic games, externalities, moral hazard in teams, free- riding.

22.

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

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Market Microstructure, flash crash, high frequency trading, call markets, market regulation, market simulation

23.

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

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Investor beliefs, mispricing, optimal portfolios, range reversion, risk premium

24.

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

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Utility Maximization, Optimal Portfolio Selection, Optimal Effort

25.

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

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26.

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

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27.

Nonlinear Financial Markets: Hedging and Portfolio Optimization

Posted: 22 Aug 1998
Jaksa Cvitanic
California Institute of Technology - Division of the Humanities and Social Sciences

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28.

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

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