Jaksa Cvitanic
Title
Cited by
Cited by
Year
Convex duality in constrained portfolio optimization
J Cvitanić, I Karatzas
The Annals of Applied Probability, 767-818, 1992
7451992
HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12
J Cvitanić, I Karatzas
Mathematical finance 6 (2), 133-165, 1996
3811996
Backward stochastic differential equations with reflection and Dynkin games
J Cvitanic, I Karatzas
The Annals of Probability, 2024-2056, 1996
3621996
Hedging contingent claims with constrained portfolios
J Cvitanić, I Karatzas
The Annals of Applied Probability, 652-681, 1993
3571993
There is no nontrivial hedging portfolio for option pricing with transaction costs
HM Soner, SE Shreve, J Cvitanic
The Annals of Applied Probability 5 (2), 327-355, 1995
3521995
On dynamic measures of risk
J Cvitanić, I Karatzas
Finance and Stochastics 3 (4), 451-482, 1999
2791999
Introduction to the economics and mathematics of financial markets
J Cvitanić, F Zapatero
MIT press, 2004
2632004
Utility maximization in incomplete markets with random endowment
J Cvitanić, W Schachermayer, H Wang
Finance and Stochastics 5 (2), 259-272, 2001
2582001
Hedging options for a large investor and forward-backward SDE's
J Cvitanić, J Ma
The annals of applied probability 6 (2), 370-398, 1996
2581996
Optimal consumption choices for a ˇlarge˘investor
D Cuoco, J Cvitanić
Journal of Economic Dynamics and Control 22 (3), 401-436, 1998
2041998
On portfolio optimization under" drawdown" constraints
J Cvitanic, I Karatzas
1791994
Contract theory in continuous-time models
J Cvitanic, J Zhang
Springer Science & Business Media, 2012
1782012
Leverage decision and manager compensation with choice of effort and volatility
A Cadenillas, J Cvitanić, F Zapatero
Journal of Financial Economics 73 (1), 71-92, 2004
1692004
Super-replication in stochastic volatility models under portfolio constraints
J Cvitanić, H Pham, N Touzi
Journal of Applied Probability, 523-545, 1999
1631999
A closed-form solution to the problem of super-replication under transaction costs
J Cvitanić, H Pham, N Touzi
Finance and stochastics 3 (1), 35-54, 1999
1581999
Optimal replication of contingent claims under portfolio constraints
M Broadie, J Cvitanić, HM Soner
The Review of Financial Studies 11 (1), 59-79, 1998
1521998
Minimizing expected loss of hedging in incomplete and constrained markets
J Cvitanic
SIAM Journal on Control and Optimization 38 (4), 1050-1066, 2000
1222000
High frequency traders and asset prices
J Cvitanic, AA Kirilenko
Available at SSRN 1569067, 2010
1162010
Financial markets equilibrium with heterogeneous agents
J Cvitanić, E Jouini, S Malamud, C Napp
Review of Finance 16 (1), 285-321, 2012
1142012
Optimal portfolio allocation with higher moments
J Cvitanić, V Polimenis, F Zapatero
Annals of Finance 4 (1), 1-28, 2008
1082008
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Articles 1–20