Cvitanic, Prelec, Riley and Tereick (2019) Honesty via Choice-Matching. American Economic Review: Insights. Forthcoming.
Cvitanic, Prelec, Radas and Sikic (2019) Game of Duels: Information-Theoretic Axiomatization of Scoring Rules. IEEE Transactions on Information Theory, 65, 530–537.
Cvitanic and Hugonnier (2019) Optimal fund menus. Working paper.
Bayraktar, Cvitanic and Zhang (2019) Large Tournament Games. The Annals of Applied Probability. Forthcoming.
Cvitanic, Prelec, Radas and Sikic (2019) Incentive Compatible Surveys via Posterior Probabilities.Working paper.
Cvitanic and Xing (2018) Asset pricing under optimal contracts. J. of Economic Theory, 173, 142- 180.
Cvitanic, Possamai and Touzi (2017) Dynamic Programming Approach to Principal-Agent Problems. Finance and Stochastics 22, 1-37.
Cvitanic, Possamai and Touzi (2017) Moral Hazard in Dynamic Risk Management. Management Science 63, 3328-3346.
Cvitanic and Georgiadis (2016) Achieving Efficiency in Dynamic Contribution Games. American Economic Journal: Microeconomics 8, 309-342.
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
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, 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.
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
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
There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs
H. M. Soner; S. E. Shreve; J. Cvitanic
Hedging Contingent Claims with Constrained Portfolios
Jaksa Cvitanic; Ioannis Karatzas
Convex Duality in Constrained Portfolio Optimization
Jaksa Cvitanic; Ioannis Karatzas