Cvitanic, Jaksa

Combined from CaltechAUTHORS

• Cvitanić, Jakša and Hugonnier, Julien (2022) Optimal fund menus; Mathematical Finance; Vol. 32; No. 2; 455-516; 10.1111/mafi.12341
• Cvitanić, J. and Prelec, D., et el. (2020) Incentive-Compatible Surveys via Posterior Probabilities; Theory of Probability & Its Applications; Vol. 65; No. 2; 292-321; 10.1137/s0040585x97t989957
• Bayraktar, Erhan and Cvitanić, Jakša, et el. (2019) Large tournament games; Annals of Applied Probability; Vol. 29; No. 6; 3695-3744; 10.1214/19-aap1490
• Cvitanić, Jakša and Prelec, Dražen, et el. (2019) Game of Duels: Information-Theoretic Axiomatization of Scoring Rules; IEEE Transactions on Information Theory; Vol. 65; No. 1; 530-537; 10.1109/TIT.2018.2867469
• Cvitanić, Jakša and Possamaï, Dylan, et el. (2018) Dynamic programming approach to principal–agent problems; Finance and Stochastics; Vol. 22; No. 1; 1-37; 10.1007/s00780-017-0344-4
• Cvitanić, Jakša and Xing, Hao (2018) Asset pricing under optimal contracts; Journal of Economic Theory; Vol. 173; 142-180; 10.1016/j.jet.2017.10.005
• Cvitanić, Jakša and Possamaï, Dylan, et el. (2017) Moral Hazard in Dynamic Risk Management; Management Science; Vol. 63; No. 10; 3328-3346; 10.1287/mnsc.2016.2493
• Brewer, Paul J. and Cvitanić, Jakša, et el. (2017) Market Microstructure Design and Flash Crashes: A Simulation Approach; 10.7907/dtabn-mjz96
• Cvitanić, Jakša and Georgiadis, George (2016) Achieving Efficiency in Dynamic Contribution Games; American Economic Journal: Microeconomics; Vol. 8; No. 4; 309-342; 10.1257/mic.20160018
• Chang, Hualei and Cvitanić, Jakša, et el. (2015) Optimal contracting with moral hazard and behavioral preferences; Journal of Mathematical Analysis and Applications; Vol. 428; No. 2; 959-981; 10.1016/j.jmaa.2015.03.027
• Asparouhova, Elena and Bossaerts, Peter, et el. (2015) Competition in Portfolio Management: Theory and Experiment; Management Science; Vol. 61; No. 8; 1868-1888; 10.1287/mnsc.2014.1935
• Cvitanić, Jakša and Plott, Charles, et el. (2015) Markets with random lifetimes and private values: mean reversion and option to trade; Decisions in Economics and Finance; Vol. 38; No. 1; 1-19; 10.1007/s10203-014-0155-4
• Cvitanić, Jakša and Henderson, Vicky, et el. (2014) On managerial risk-taking incentives when compensation may be hedged against; Mathematics and Financial Economics; Vol. 8; No. 4; 453-471; 10.1007/s11579-014-0123-3
• Cvitanić, Jakša and Malamud, Semyon (2014) Nonmyopic optimal portfolios in viable markets; Mathematics and Financial Economics; Vol. 8; No. 1; 71-108; 10.1007/s11579-013-0109-6
• Brewer, Paul and Cvitanić, Jakša, et el. (2013) Market Microstructure Design and Flash Crashes: A Simulation Approach; Journal of Applied Economics; Vol. 16; No. 2; 223-250; 10.1016/S1514-0326(13)60010-0
• Cvitanić, Jakša and Zhang, Jianfeng (2013) Contract Theory in Continuous-Time Models; ISBN 978-3-642-14199-7; Contract Theory in Continuous-Time Models; 10.1007/978-3-642-14200-0
• Cvitanić, Jakša and Ma, Jin, et el. (2012) The Law of Large Numbers for self-exciting correlated defaults; Stochastic Processes and their Applications; Vol. 122; No. 8; 2781-2810; 10.1016/j.spa.2012.04.003
• Cvitanić, Jakša and Radas, Sonja, et el. (2011) Co-development ventures: Optimal time of entry and profit-sharing; Journal of Economic Dynamics and Control; Vol. 35; No. 10; 1710-1730; 10.1016/j.jedc.2011.05.001
• Cvitanić, Jakša and Malamud, Semyon (2010) Relative Extinction of Heterogeneous Agents; B. E. Journal of Theoretical Economics; Vol. 10; No. 1; Art. No. 4
• Cornell, Bradford and Cvitanić, Jakša, et el. (2010) Beliefs regarding fundamental value and optimal investing; Annals of Finance; Vol. 6; 83-105; 10.1007/s10436-009-0133-y
• Cvitanić, Jakša and Wan, Xuhu, et el. (2009) Optimal Compensation with Hidden Action and Lump-Sum Payment in a Continuous-Time Model; Applied Mathematics and Optiumization; Vol. 59; No. 1; 99-146; 10.1007/s00245-008-9050-0
• Capponi, Agostino and Cvitanić, Jakša (2009) Credit risk modeling with misreporting and incomplete information; International Journal of Theoretical and Applied Finance; Vol. 12; No. 1; 83-112; 10.1142/S0219024909005129
• Cvitanić, Jakša and Wan, Xuhu, et el. (2008) Principal-Agent Problems with Exit Options; B.E. Journal of Theoretical Economics; Vol. 8; No. 1; Art. No. 23
• Cvitanić, Jakša and Polimenis, Vassilis, et el. (2008) Optimal portfolio allocation with higher moments; Annals of Finance; Vol. 4; No. 1; 1-28; 10.1007/s10436-007-0071-5
• Cvitanić, Jakša and Zhang, Jianfeng (2007) Optimal compensation with adverse selection and dynamic actions; Mathematics and Financial Economics; Vol. 1; No. 1; 21-55; 10.1007/s11579-007-0002-2
• Cadenillas, Abel and Cvitanić, Jakša, et el. (2007) Optimal risk-sharing with effort and project choice; Journal of Economic Theory; Vol. 133; No. 1; 403-440; 10.1016/j.jet.2005.12.007
• Cvitanić, Jakša and Lipster, Robert, et el. (2006) A filtering approach to tracking volatility from prices observed at random times; Annals of Applied Probability; Vol. 16; No. 3; 1633-1652; 10.1214/105051606000000222
• Cvitanić, Jakša and Wan, Xuhu, et el. (2006) Optimal contracts in continuous-time models; Journal of Applied Mathematics and Stochastic Analysis; Vol. 2006; Art. No. 95203; 10.1155/JAMSA/2006/95203
• Cvitanić, Jakša and Zhang, Jianfeng (2005) The Steepest Descent Method for Forward-Backward SDEs; Electronic Journal of Probability; Vol. 10; No. 45; 1468-1495
• Cvitanić, Jakša and Goukasian, Levon, et el. (2003) Monte Carlo computation of optimal portfolios in complete markets; Journal of Economic Dynamics and Control; Vol. 27; No. 6; 971-986; 10.1016/S0165-1889(02)00051-9
• Cvitanić, Jakša and Ma, Jin, et el. (2003) Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs; Mathematical Finance; Vol. 13; No. 1; 135-151; 10.1111/1467-9965.00010
• Cvitanić, Jakša and Schachermayer, Walter, et el. (2001) Utility maximization in incomplete markets with random endowment; Finance and Stochastics; Vol. 5; No. 2; 259-272; 10.1007/PL00013534
• Ma, Jin and Cvitanić, Jakša (2001) Reflected forward-backward SDEs and obstacle problems with boundary conditions; Journal of Applied Mathematics and Stochastic Analysis; Vol. 14; No. 2; 113-138; 10.1155/S1048953301000090
• Spivak, Gennady and Cvitanić, Jakša (1999) Maximizing the probability of a perfect hedge; Annals of Applied Probability; Vol. 9; No. 4; 1303-1326; 10.1214/aoap/1029962873
• Cvitanić, Jakša and Pham, Huyên, et el. (1999) Super-replication in stochastic volatility models under portfolio constraints; Journal of Applied Probability; Vol. 36; No. 2; 523-545; 10.1239/jap/1032374469
• Cvitanić, Jakša and Karatzas, Ioannis, et el. (1998) Backward stochastic differential equations with constraints on the gains-process; Annals of Probability; Vol. 26; No. 4; 1522-1551
• Cvitanić, Jakša and Karatzas, Ioannis (1996) Backward stochastic differential equations with reflection and Dynkin games; Annals of Probability; Vol. 24; No. 4; 2024-2056; 10.1214/aop/1041903216
• Cvitanić, Jakša and Ma, Jin (1996) Hedging Options for a Large Investor and Forward-Backward SDE's; Annals of Applied Probability; Vol. 6; No. 2; 370-398
• Soner, H. M. and Shreve, S. E., et el. (1995) There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs; Annals of Applied Probability; Vol. 5; No. 2; 327-355; 10.1214/aoap/1177004767
• Cvitanić, Jakša and Karatzas, Ioannis (1993) Hedging Contingent Claims with Constrained Portfolios; Annals of Applied Probability; Vol. 3; No. 3; 652-681
• Cvitanić, Jakša and Karatzas, Ioannis (1992) Convex Duality in Constrained Portfolio Optimization; Annals of Applied Probability; Vol. 2; No. 4; 767-818