RESEARCH PAPERS:
Cvitanic
and Xing (2017) Asset pricing under optimal
contracts. Working paper.
Cvitanic,
Prelec, Riley and Tereick (2017) Honesty via
Choice-Matching. Working paper.
Cvitanic,
Possamai and Touzi
(2016) Dynamic Programming Approach to Principal-Agent
Problems. Finance and Stochastics, forthcoming.
Cvitanic and Georgiadis
(2016) Achieving Efficiency in Dynamic Contribution Games. American
Economic Journal: Microeconomics 8, 309-342.
Cvitanic, Possamai and Touzi (2016) Moral Hazard in
Dynamic Risk Management. Management Science, forthcoming.
Cvitanic, Prelec, Radas and
Sikic (2016)
Incentive Compatible Surveys via Posterior Probabilities.Working paper.
Cvitanic,
Prelec, Radas and Sikic (2016) Bayesian Truth Serum and
Information Theory: Game of Duels. Working paper.
Chang, H., Cvitanic, J. and Zhou,
XY (2015) Optimal
Contracting with Moral Hazard and Behavioral Preferences. J. of
Mathematical Analysis and Applications 428, 959-981 .
Asparouhova,
Bossaerts,
Copic, Cornell, Cvitanic, Meloso (2015) "Experiments on Asset
Pricing Under Delegated Portfolio Management". Management
Science, 61, 1868--1888.
Cvitanic, Plott and Tseng
(2015) Price mean-reversion in markets with random lifetimes
and reservation values. Decisions in Economics and Finance 38,
1-19. Published by Springer, and available at
http://link.springer.com/article/10.1007/s10203-014-0155-4?sa_campaign=email/event/articleAuthor/onlineFirst
Cvitanic, Henderson and Lazrak
(2014) "On managerial risk-taking incentives when compensation may be hedged
against". Mathematics and Financial Economics 8, 453-471.
Excel file with numerical
computations.
Cvitanic and Malamud
(2014) "Nonmyopic Optimal Portfolios in Viable Markets."
"Mathematics and Financial Economics" 8, 71-108.
Published by Springer, and available at http://link.springer.com/article/10.1007%2Fs11579-013-0109-6
Brewer, Cvitanic and Plott
(2013) Flash Crashes, Book Resting Times and Call Markets: A Simulation
Study. J. of Applied Economics, XVI, 223-25..
Cvitanic, Wan and Yang
(2013) Dynamics of Contract Design with Screening. Management
Science 59, 1229--1244.
Capponi,
Cvitanic,
and Yolcu (2012) Contracting With Effort and
Misvaluation. "Mathematics and Financial Economics", 7, 93-128.
.Published by Springer, and available at http://www.springerlink.com/openurl.asp?genre=article&id=doi:10.1007/s11579-012-0088-z
Capponi, Cvitanic, and Yolcu
(2012) A Variational Approach to Contracting under Imperfect Observations.
"SIAM J on Financial Mathematics", 3, 605-638.
Published by SIAM and available at
http://epubs.siam.org/doi/abs/10.1137/110859075
Cvitanic
and
Malamud (2011) "Price Impact and Portfolio Impact". Journal of
Financial Economics 100, 20--225.
Cvitanic,
Jouini,
Malamud and Napp (2011) "Financial Markets Equilibrium with
Heterogeneous Agents". Review of Finance, 16, 285-321.
Cvitanic Radas and Sikic
(2011) "Co-development Ventures: Optimal Time of Entry and
Profit-Sharing". J. of Economic Dynamics and Control 35, 1710-1730.
Cvitanic, Ma, Zhang (2011)
Laws
of Large Numbers for Self-Inciting Correlated Defaults. Stochastic Processes
and Applications 122, 2781-2810
Cvitanic,
Kirilenko (2010) "High-Frequency Traders and Asset Prices". Working
paper.
Cvitanic and Malamud
(2010) "Relative Extinction of Heterogeneous Agents". The B.E. Journal of
Theoretical Economics: Vol. 10 : Iss. 1 (Contributions), Article 4.
Available at: http://www.bepress.com/bejte/vol10/iss1/art4
Cornell-Cvitanic-Goukasian
(2009) "Beliefs Regarding Fundamental Value and Optimal Investing". Annals of Finance.
Published
by
Springer, and available at http://www.springerlink.com/openurl.asp?genre=article&id=doi:10.1007/s10436-009-0133-y
Cvitanic, Wan, Zhang (2009) "Optimal Compensation with Hidden
Action and Lump-Sum Payment in a Continuous-Time Model". Applied
Mathematics and Optimization 59, 99-146. Published by Springer,
and available at
http://www.springerlink.com/openurl.asp?genre=article&id=doi:10.1007/s00245-008-9050-0&sa_campaign=Email/ACE/Paginated
Capponi-Cvitanic
(2009) "Credit Risk Modeling with Misreporting and
Incomplete Information". International Journal of Applied and Theoretical
Finance, 12, 81-112.
Cvitanic-Wan-Zhang
(2008) "Principal-Agent Problems with Exit Options". The B.E. Journal
in Theoretical Economics 8.
Cvitanic, J., Lazrak, A.,
Wang, T. (2008) "Sharpe ratio as a performance measure in a
multi-period model." J. of Econ. Dynamics and Control 32,
1622-1649 .
Cvitanic-Polimenis-Zapatero
(2008) "Optimal Portfolio Allocation with Higher
Moments".
Annals of Finance, 4, 1-28. Published by Springer, and available at
http://dx.doi.org/10.1007/s10436-007-0071-5
Cvitanic,
Wiener,
Zapatero (2008) "Analytic Pricing of Employee Stock Options".The
Review of Financial Studies, 21, 683 - 724.
Cvitanic
and
Zhang (2007) "Optimal Compensation with Adverse
Selection and Dynamic Actions". Mathematics and Financial Economics 1,
21-55. Published by Springer, and available at http://dx.doi.org/10.1007/s11579-007-0002-2
Cvitanic-Goukasian-Zapatero
(2007) "Optimal Risk Taking with Flexible Income." Management
Science 53, 1594-1603.
Cadenillas, Cvitanic, Zapatero (2007) "Optimal Risk-Sharing with
Effort and Project Choice". J. of Economic Theory, 133, 403-440.
Cvitanic and Zhang (2005) "The
Steepest Descent Method for FBSDEs", Electronic Journal of
Probability 10, 1468-1495.
Cvitanic-Rozovski-Zaliapin (2006)
"Numerical estimation of volatility values from discretely observed
diffusion data ". Journal of Computational Finance, 9.
Cvitanic-Liptser-Rozovski (2006) "A
filtering approach to tracking volatility from prices observed at random
times". The Annals of Applied Probability, 16, 1633-1652.
Cvitanic,-Lazrak-Martellini-Zapatero (2006) "Dynamic Portfolio
Choice with Parameter Uncertainty and the Economic Value of Analysts'
Recommendations}". The Review of Financial Studies, 19, 1113-1156,
LEAD ARTICLE.
Cvitanic, Wan, Zhang (2006)
" Optimal Contracts in Continuous-Time Models " . J. of Applied
Mathematics and Stochastic Analysis , vol. 2006, Article ID 95203,
1--27.
Cadenillas, Cvitanic, Zapatero (2004)
"Leverage decision and manager compensation with choice of effort and
volatility. J. of Financial Economics 73, 71-92 ."
Cvitanic,-Lazrak-Martellini-Zapatero (2003)
"Optimal Allocation to Hedge Funds: An Empirical Analysis."
Quantitative Finance 3, 1-12.
Cvitanic-Ma-Zhang (2003) "Efficient Computation
of Hedging Portfolios for Options with Discontinuous Payoffs".
Mathematical Finance, 13.
Cadenillas-Cvitanic-Zapatero (2001) "Executive Stock Options with Effort
Disutility and Choice of Volatility". Preprint.
PS-file
PDF file
Cvitanic-Lazrak-Quenez-Zapatero (2001)
"Incomplete Information with Recursive Preferences". International J. of
Theoretical and Applied Finance 4, 245-261 .
Cvitanic-Goukasian-Zapatero (2003) Monte
Carlo computation of optimal portfolios in complete markets. J. of
Economic Dynamics and Control 27, 971-986.
Cvitanic-Goukasian-Zapatero (2002)
"Hedging with Monte Carlo Simulation". In E. Kontoghiorghes, B. Rustem and
S. Siokos (eds.), "Computational Methods in Decision-Making, Economics and
Finance". Kluwer Academic Publishers.
Cvitanic-Schachermayer-Wang (2001) "Utility
maximization in incomplete markets with random endowment". Finance &
Stochastics, 5.
Lecture
Notes (2001) "Theory of portfolio optimization in
markets with frictions". "Handbook of Mathematical Finance", Cambridge
University Press.
Lecture Notes (1997) "Optimal
Trading Under Constraints". Lecture Notes in Mathematics 1656,
Springer.
Cvitanic-Wang
(2001) "On optimal terminal wealth under transaction costs." J. of
Mathematical Eonomics, 35.
Cvitanic-Karatzas
(2001) "Generalized Neyman-Pearson Lemma via convex duality". Bernoulli,
7.
Cvitanic (2000): "Minimizing expected loss of
hedging in incomplete and constrained markets." SIAM J. Contr. &
Optim., 38.
Cvitanic-Karatzas (1999): "On Dynamic Measures
of Risk." Finance & Stochastics, 4.
Cvitanic-Karatzas-Soner (1999): "Backward
SDEs with constraints on the gains-process." Annals of Probability, 26.
Cvitanic-Pham-Touzi
(1999): "Super-replication in Stochastic Volatility Models under Portfolio
Constraints". J. of Appl. Probability, 36.
Cvitanic-Pham-Touzi (1999): "A closed-form solution for the problem of
super-replication under transaction costs", Finance and Stochastics
3,35-54 .
Cuoco-Cvitanic
(1998)
"Optimal consumption choices for a large
investor. J. Econ.
Dynamics and Control 22, 401-436.
Cvitanic-Karatzas (1995)
"Hedging and portfolio optimization under transaction costs:
martingale approach.
Mathematical Finance 6, 133-165.
Cvitanic-Karatzas
(1995)
"On portfolio optimization under drawdown
constraints. IMA Volumes in Math. and its Appl. 65, 35-46.
Maximizing
the
Probability of a Perfect Hedge
Gennady Spivak; Jaksa Cvitanic
The Annals of Applied Probability >
Vol. 9, No. 4 (Nov., 1999), pp. 1303-1328
M Broadie, J
Cvitanic, and HM Soner (1998) Optimal
replication of contingent claims under portfolio constraints, Rev.
Financ. Stud. 11: 59-79;
Backward
stochastic differential equations with reflection and Dynkin games
Jaksa Cvitanic; Ioannis Karatzas
Annals
of
Probability 24, no. 4 (1996), 2024–2056
Hedging
Options
for a Large Investor and Forward-Backward SDE's
Jaksa Cvitanic; Jin Ma
The Annals of Applied Probability >
Vol. 6, No. 2 (May, 1996), pp. 370-398
There
is
no Nontrivial Hedging Portfolio for Option Pricing with Transaction
Costs
H. M. Soner; S. E. Shreve; J. Cvitanic
The Annals of Applied Probability >
Vol. 5, No. 2 (May, 1995), pp. 327-355
Hedging
Contingent
Claims with Constrained Portfolios
Jaksa Cvitanic; Ioannis Karatzas
The Annals of Applied Probability >
Vol. 3, No. 3 (Aug., 1993), pp. 652-681
Convex
Duality
in Constrained Portfolio Optimization
Jaksa Cvitanic; Ioannis Karatzas
The Annals of Applied Proba bility >
Vol. 2, No. 4 (Nov., 1992), pp. 767-818