Jaksa Cvitanic

According to our database, Jaksa Cvitanic authored at least 16 papers between 1999 and 2019.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2019

Game of Duels: Information-Theoretic Axiomatization of Scoring Rules.

Jaksa Cvitanic, Drazen Prelec, Sonja Radas, Hrvoje Sikic

IEEE Trans. Inf. Theory, 2019

2018

Asset pricing under optimal contracts.

Jaksa Cvitanic, Hao Xing

J. Econ. Theory, 2018

Dynamic programming approach to principal-agent problems.

Jaksa Cvitanic, Dylan Possamaï, Nizar Touzi

Finance Stochastics, 2018

2017

Moral Hazard in Dynamic Risk Management.

Jaksa Cvitanic, Dylan Possamaï, Nizar Touzi

Manag. Sci., 2017

Erratum to: Utility maximization in incomplete markets with random endowment.

Jaksa Cvitanic, Walter Schachermayer, Hui Wang

Finance Stochastics, 2017

2015

Competition in Portfolio Management: Theory and Experiment.

Elena Asparouhova, Peter Bossaerts, Jernej Copic, Brad Cornell, Jaksa Cvitanic, Debrah Meloso

Manag. Sci., 2015

2013

Dynamics of Contract Design with Screening.

Jaksa Cvitanic, Xuhu Wan, Huali Yang

Manag. Sci., 2013

2012

A Variational Approach to Contracting under Imperfect Observations.

Agostino Capponi, Jaksa Cvitanic, Türkay Yolcu

SIAM J. Financial Math., 2012

2007

Optimal Risk Taking with Flexible Income.

Jaksa Cvitanic, Levon Goukasian, Fernando Zapatero

Manag. Sci., 2007

Optimal risk-sharing with effort and project choice.

Abel Cadenillas, Jaksa Cvitanic, Fernando Zapatero

J. Econ. Theory, 2007

2002

Problems in financial engineering: optimal active management fees.

Jaksa Cvitanic, Lionel Martellini, Fernando Zapatero

Proceedings of the 34th Winter Simulation Conference: Exploring New Frontiers, 2002

2001

Utility maximization in incomplete markets with random endowment.

Jaksa Cvitanic, Walter Schachermayer, Hui Wang

Finance Stochastics, 2001

2000

Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets.

Jaksa Cvitanic

SIAM J. Control. Optim., 2000

Tracking volatility (stock markets).

Jaksa Cvitanic, Robert Sh. Liptser, Boris Rozovskii

Proceedings of the 39th IEEE Conference on Decision and Control, 2000

1999

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

Jaksa Cvitanic, Huyên Pham, Nizar Touzi

Finance Stochastics, 1999

On dynamic measures of risk.

Jaksa Cvitanic, Ioannis Karatzas

Finance Stochastics, 1999