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1

HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH

Jakša Cvitanić, Ioannis Karatzas

Journal:

Mathematical Finance

Year:

1996

Language:

english

File:

PDF, 1.22 MB

english, 1996

2

Convex Duality in Constrained Portfolio Optimization

Jakša Cvitanić and Ioannis Karatzas

Journal:

The Annals of Applied Probability

Year:

1992

Language:

english

File:

PDF, 3.63 MB

english, 1992

3

Hedging Contingent Claims with Constrained Portfolios

Cvitanic, Jaksa, Karatzas, Ioannis

Journal:

The Annals of Applied Probability

Year:

1993

File:

PDF, 2.12 MB

1993

4

CREDIT RISK MODELING WITH MISREPORTING AND INCOMPLETE INFORMATION

CAPPONI, AGOSTINO, CVITANIĆ, JAKŠA

Journal:

International Journal of Theoretical and Applied Finance

Year:

2009

Language:

english

File:

PDF, 410 KB

english, 2009

5

Monte Carlo computation of optimal portfolios in complete markets

Jakša Cvitanić, Levon Goukasian, Fernando Zapatero

Journal:

Journal of Economic Dynamics and Control

Year:

2003

Language:

english

File:

PDF, 165 KB

english, 2003

6

Utility maximization in incomplete markets with random endowment

Jakša Cvitanić, Walter Schachermayer, Hui Wang

Journal:

Finance and Stochastics

Year:

2001

Language:

english

File:

PDF, 110 KB

english, 2001

7

On dynamic measures of risk

Jakša Cvitanić, Ioannis Karatzas

Journal:

Finance and Stochastics

Year:

1999

Language:

english

File:

PDF, 207 KB

english, 1999

8

Optimal portfolio allocation with higher moments

Jakša Cvitanić, Vassilis Polimenis, Fernando Zapatero

Journal:

Annals of Finance

Year:

2008

Language:

english

File:

PDF, 396 KB

english, 2008

9

On optimal terminal wealth under transaction costs

Jakša Cvitanić, Hui Wang

Journal:

Journal of Mathematical Economics

Year:

2001

Language:

english

File:

PDF, 75 KB

english, 2001

10

Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs

Jakša Cvitanić, Jin Ma, Jianfeng Zhang

Journal:

Mathematical Finance

Year:

2003

Language:

english

File:

PDF, 150 KB

english, 2003

11

Price impact and portfolio impact

Jaksa Cvitanić, Semyon Malamud

Journal:

Journal of Financial Economics

Year:

2011

Language:

english

File:

PDF, 594 KB

english, 2011

12

[Lecture Notes in Mathematics] Financial Mathematics Volume 1656 || Interest rate theory

Biais, Bruno, Björk, Thomas, Cvitanić, Jakša, El Karoui, Nicole, Jouini, Elyés, Rochet, Jean Charles, Runggaldier, Wolfgang J.

Year:

1997

Language:

english

File:

PDF, 2.78 MB

english, 1997

13

[Lecture Notes in Mathematics] Financial Mathematics Volume 1656 || Non-linear pricing theory and backward stochastic differential equations

Biais, Bruno, Björk, Thomas, Cvitanić, Jakša, El Karoui, Nicole, Jouini, Elyés, Rochet, Jean Charles, Runggaldier, Wolfgang J.

Year:

1997

Language:

english

File:

PDF, 2.64 MB

english, 1997

14

Backward Stochastic Differential Equations with Reflection and Dynkin Games

Jaksa Cvitanic and Ioannis Karatzas

Journal:

The Annals of Probability

Year:

1996

Language:

english

File:

PDF, 1.77 MB

english, 1996

15

Reflected forward-backward SDEs and obstacle problems with boundary conditions

Ma, Jin, Cvitanić, Jakša

Journal:

Journal of Applied Mathematics and Stochastic Analysis

Year:

2001

Language:

english

File:

PDF, 3.85 MB

english, 2001

16

Optimal compensation with adverse selection and dynamic actions

Jakša Cvitanić, Jianfeng Zhang

Journal:

Mathematics and Financial Economics

Year:

2007

Language:

english

File:

PDF, 447 KB

english, 2007

17

Leverage decision and manager compensation with choice of effort and volatility

Abel Cadenillas, Jakša Cvitanić, Fernando Zapatero

Journal:

Journal of Financial Economics

Year:

2004

Language:

english

File:

PDF, 292 KB

english, 2004

18

A Variational Approach to Contracting under Imperfect Observations

Capponi, Agostino, Cvitanić, Jakša, Yolcu, Türkay

Journal:

SIAM Journal on Financial Mathematics

Year:

2012

Language:

english

File:

PDF, 481 KB

english, 2012

19

MARKET MICROSTRUCTURE DESIGN AND FLASH CRASHES: A SIMULATION APPROACH

Brewer, Paul, Cvitanic, Jaksa, Plott, Charles R.

Journal:

Journal of Applied Economics

Year:

2013

Language:

english

File:

PDF, 3.21 MB

english, 2013

20

Mathematics of Financial Marketsby Robert J. Elliott; P. Ekkehard Kopp

Review by: Jaksa Cvitanic

Journal:

The Journal of Finance

Year:

2000

Language:

english

File:

PDF, 93 KB

english, 2000

21

Dynamics of Contract Design with Screening

Cvitanić, Jakša, Wan, Xuhu, Yang, Huali

Journal:

Management Science

Year:

2013

Language:

english

File:

PDF, 608 KB

english, 2013

22

INCOMPLETE INFORMATION WITH RECURSIVE PREFERENCES

CVITANIĆ, JAKSA, LAZRAK, ALI, QUENEZ, MARIE CLAIRE, ZAPATERO, FERNANDO

Journal:

International Journal of Theoretical and Applied Finance

Year:

2001

Language:

english

File:

PDF, 282 KB

english, 2001

23

Competition in Portfolio Management: Theory and Experiment

Asparouhova, Elena, Bossaerts, Peter, Čopič, Jernej, Cornell, Brad, Cvitanić, Jakša, Meloso, Debrah

Journal:

Management Science

Year:

2015

Language:

english

File:

PDF, 619 KB

english, 2015

24

Analytic Pricing of Employee Stock Options

Cvitanić, Jakša, Wiener, Zvi, Zapatero, Fernando

Journal:

Review of Financial Studies

Year:

2008

Language:

english

File:

PDF, 340 KB

english, 2008

25

Optimal Risk Taking with Flexible Income

Cvitanić, Jakša, Goukasian, Levon, Zapatero, Fernando

Journal:

Management Science

Year:

2007

Language:

english

File:

PDF, 198 KB

english, 2007

26

Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts’ Recommendations

Cvitanić, Jakša, Lazrak, Ali, Martellini, Lionel, Zapatero, Fernando

Journal:

Review of Financial Studies

Year:

2006

Language:

english

File:

PDF, 288 KB

english, 2006

27

Moral Hazard in Dynamic Risk Management

Cvitanić, Jakša, Possamaï, Dylan, Touzi, Nizar

Journal:

Management Science

Year:

2016

Language:

english

File:

PDF, 427 KB

english, 2016

28

The Steepest Descent Method for Forward-Backward SDEs

Cvitanic, Jaksa, Zhang, Jianfeng

Journal:

Electronic Journal of Probability

Year:

2005

Language:

english

File:

PDF, 191 KB

english, 2005

29

Hedging options for a large investor and forward-backward SDE's

Cvitanić, Jakša, Ma, Jin

Journal:

The Annals of Applied Probability

Year:

1996

Language:

english

File:

PDF, 829 KB

english, 1996

30

Dynamic programming approach to principal–agent problems

Cvitanić, Jakša, Possamaï, Dylan, Touzi, Nizar

Journal:

Finance and Stochastics

Year:

2017

Language:

english

File:

PDF, 1020 KB

english, 2017

31

Optimal contracts in continuous-time models

Cvitanić, Jakša, Wan, Xuhu, Zhang, Jianfeng

Journal:

Journal of Applied Mathematics and Stochastic Analysis

Year:

2006

Language:

english

File:

PDF, 1.99 MB

english, 2006

32

Game of Duels: Information-Theoretic Axiomatization of Scoring Rules

Cvitanic, Jaksa, Prelec, Drazen, Radas, Sonja, Sikic, Hrvoje

Journal:

IEEE Transactions on Information Theory

Year:

2018

Language:

english

File:

PDF, 2.75 MB

english, 2018

33

Honesty via Choice-Matching

Cvitanić, Jakša, Prelec, Dražen, Riley, Blake, Tereick, Benjamin

Journal:

American Economic Review: Insights

Year:

2019

Language:

english

File:

PDF, 520 KB

english, 2019

34

Implications of the Sharpe ratio as a performance measure in multi-period settings

Jakša Cvitanić, Ali Lazrak, Tan Wang

Journal:

Journal of Economic Dynamics and Control

Year:

2008

Language:

english

File:

PDF, 286 KB

english, 2008

35

Optimal consumption choices for a ‘large’ investor

Domenico Cuoco, Jakša Cvitanić

Journal:

Journal of Economic Dynamics and Control

Year:

1998

Language:

english

File:

PDF, 1.71 MB

english, 1998

36

Optimal Compensation with Hidden Action and

Jakša Cvitanić, Xuhu Wan, Jianfeng Zhang

Journal:

Applied Mathematics & Optimization

Year:

2009

Language:

english

File:

PDF, 719 KB

english, 2009

37

A closed-form solution to the problem of super-replication under transaction costs

Jakša Cvitanić, Huyên Pham, Nizar Touzi

Journal:

Finance and Stochastics

Year:

1999

Language:

english

File:

PDF, 218 KB

english, 1999

38

Beliefs regarding fundamental value and optimal investing

Bradford Cornell, Jakša Cvitanić, Levon Goukasian

Journal:

Annals of Finance

Year:

2010

Language:

english

File:

PDF, 328 KB

english, 2010

39

Methods of Partial Hedging

Jakša Cvitanić

Journal:

Asia-Pacific Financial Markets

Year:

1999

Language:

english

File:

PDF, 170 KB

english, 1999

40

Introduction

Jakša Cvitanić

Journal:

Asia-Pacific Financial Markets

Year:

1999

Language:

english

File:

PDF, 12 KB

english, 1999

41

Co-development ventures: Optimal time of entry and profit-sharing

Jakša Cvitanić, Sonja Radas, Hrvoje Šikić

Journal:

Journal of Economic Dynamics and Control

Year:

2011

Language:

english

File:

PDF, 461 KB

english, 2011

42

Optimal risk-sharing with effort and project choice

Abel Cadenillas, Jakša Cvitanić, Fernando Zapatero

Journal:

Journal of Economic Theory

Year:

2007

Language:

english

File:

PDF, 399 KB

english, 2007

43

The Law of Large Numbers for self-exciting correlated defaults

Jakša Cvitanić, Jin Ma, Jianfeng Zhang

Journal:

Stochastic Processes and their Applications

Year:

2012

Language:

english

File:

PDF, 318 KB

english, 2012

44

Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets

Cvitanic, Jaksa

Journal:

SIAM Journal on Control and Optimization

Year:

2000

Language:

english

File:

PDF, 201 KB

english, 2000

45

Optimal contracting with effort and misvaluation

Agostino Capponi, Jakša Cvitanić, Türkay Yolcu

Journal:

Mathematics and Financial Economics

Year:

2013

Language:

english

File:

PDF, 776 KB

english, 2013

46

[Springer Finance] Contract Theory in Continuous-Time Models || Mathematical Theory for General Moral Hazard Problems

Cvitanić, Jakša, Zhang, Jianfeng

Year:

2013

Language:

english

File:

PDF, 461 KB

english, 2013

47

[Springer Finance] Contract Theory in Continuous-Time Models || Single-Period Examples

Cvitanić, Jakša, Zhang, Jianfeng

Year:

2013

Language:

english

File:

PDF, 152 KB

english, 2013

48

[Springer Finance] Contract Theory in Continuous-Time Models || Backward SDEs

Cvitanić, Jakša, Zhang, Jianfeng

Year:

2013

Language:

english

File:

PDF, 353 KB

english, 2013

49

[Springer Finance] Contract Theory in Continuous-Time Models || Linear Models with Project Selection, and Preview of Results

Cvitanić, Jakša, Zhang, Jianfeng

Year:

2013

Language:

english

File:

PDF, 195 KB

english, 2013

50

[Springer Finance] Contract Theory in Continuous-Time Models || Forward-Backward SDEs

Cvitanić, Jakša, Zhang, Jianfeng

Year:

2013

Language:

english

File:

PDF, 290 KB

english, 2013