Cvitanic, Jaksa - Department of Mathematics, California Institute of Technology

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Cvitanic, Jaksa - Department of Mathematics, California Institute of Technology

On managerial risk-taking incentives when compensation may be hedged against
Implications of the Sharpe Ratio as a Performance Measure in Multi-Period
ON OPTIMAL TERMINAL WEALTH UNDER TRANSACTION COSTS \Lambda
Executive Stock Options with Effort Disutility
Jaksa Cvitanic Vassilis Polimenis Fernando Zapatero Optimal portfolio allocation with higher moments
Backward Stochastic Differential Equations with constraints on the gainsprocess \Lambda
GENERALIZED NEYMANPEARSON LEMMA VIA CONVEX DUALITY \Lambda
Hedging with Monte Carlo Simulation Jaksa Cvitani c
A FILTERING APPROACH TO TRACKING VOLATILITY FROM PRICES OBSERVED AT
Co-development Ventures: Optimal Time of Entry and Profit-Sharing
Risk Aversion and Equilibrium Optimal Portfolios in Large Markets
Executive Stock Options with E ort Disutility
MINIMIZING EXPECTED LOSS OF HEDGING IN INCOMPLETE AND CONSTRAINED MARKETS \Lambda
Beliefs Regarding Fundamental Value and Optimal Investing
Monte Carlo Computation of Optimal in Complete Markets
Co-development Ventures: Optimal Time of Entry and Profit-Sharing
Law of Large Numbers for Self-Exciting Correlated Defaults
April 6, 2008 2:50 WSPC/INSTRUCTION FILE CreditRiskModelling-WithMisreportingQuantFinance17
The Steepest Descent Method for Jaksa Cvitanic
Optimal Contracts in Continuous-Time Jaksa Cvitanic
Leverage decision and manager compensation with choice of effort and Abel Cadenillasa
Ecient Computation of Hedging Portfolios for
Financial Markets Equilibrium with Heterogeneous Agents
Nonmyopic Optimal Portfolios in Viable Markets Jaksa Cvitanic
THEORY OF PORTFOLIO OPTIMIZATION IN MARKETS WITH FRICTIONS
Numerical estimation of volatility values from discretely observed diffusion data
ON DYNAMIC MEASURES OF RISK \Lambda Jaksa Cvitani'c
Optimal Allocation to Hedge Funds : An Empirical Analysis
Utility Maximization in Incomplete Markets with Random Jaksa Cvitani'c \Lambda
Equilibrium Asset Pricing and Portfolio Choice with Heterogeneous Preferences
Superreplication in stochastic volatility models under portfolio constraints \Lambda
Incomplete Information with Recursive Preferences Jaksa Cvitani c
Contracting with Hidden States and Misreporting Agostino Capponi
Dynamics of Contract Design with Screening Jaksa Cvitanic, Xuhu Wanand Huali Yang