@article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/112241, title ="Optimal fund menus", author = "Cvitanić, Jakša and Hugonnier, Julien", journal = "Mathematical Finance", volume = "32", number = "2", pages = "455-516", month = "April", year = "2022", doi = "https://doi.org/10.1111/mafi.12341", url = "https://resolver.caltech.edu/CaltechAUTHORS:20211207-155923022", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/105718, title ="Incentive-Compatible Surveys via Posterior Probabilities", author = "Cvitanić, J. and Prelec, D. and Radas, S. and Šikić, H.", journal = "Theory of Probability & Its Applications", volume = "65", number = "2", pages = "292-321", month = "January", year = "2020", doi = "https://doi.org/10.1137/s0040585x97t989957", url = "https://resolver.caltech.edu/CaltechAUTHORS:20201001-101339197", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/100864, title ="Large tournament games", author = "Bayraktar, Erhan and Cvitanić, Jakša and Zhang, Yuchong", journal = "Annals of Applied Probability", volume = "29", number = "6", pages = "3695-3744", month = "December", year = "2019", doi = "https://doi.org/10.1214/19-aap1490", url = "https://resolver.caltech.edu/CaltechAUTHORS:20200123-081310030", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/89425, title ="Game of Duels: Information-Theoretic Axiomatization of Scoring Rules", author = "Cvitanić, Jakša and Prelec, Dražen and Radas, Sonja and Šikić, Hrvoje", journal = "IEEE Transactions on Information Theory", volume = "65", number = "1", pages = "530-537", month = "January", year = "2019", doi = "https://doi.org/10.1109/TIT.2018.2867469", url = "https://resolver.caltech.edu/CaltechAUTHORS:20180906-140959870", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/83211, title ="Asset pricing under optimal contracts", author = "Cvitanić, Jakša and Xing, Hao", journal = "Journal of Economic Theory", volume = "173", pages = "142-180", month = "January", year = "2018", doi = "https://doi.org/10.1016/j.jet.2017.10.005", url = "https://resolver.caltech.edu/CaltechAUTHORS:20171114-155621178", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/82728, title ="Dynamic programming approach to principal–agent problems", author = "Cvitanić, Jakša and Possamaï, Dylan and Touzi, Nizar", journal = "Finance and Stochastics", volume = "22", number = "1", pages = "1-37", month = "January", year = "2018", doi = "https://doi.org/10.1007/s00780-017-0344-4", url = "https://resolver.caltech.edu/CaltechAUTHORS:20171027-093026885", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/83284, title ="Moral Hazard in Dynamic Risk Management", author = "Cvitanić, Jakša and Possamaï, Dylan and Touzi, Nizar", journal = "Management Science", volume = "63", number = "10", pages = "3328-3346", month = "October", year = "2017", doi = "https://doi.org/10.1287/mnsc.2016.2493", url = "https://resolver.caltech.edu/CaltechAUTHORS:20171117-085646065", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/72593, title ="Achieving Efficiency in Dynamic Contribution Games", author = "Cvitanić, Jakša and Georgiadis, George", journal = "American Economic Journal: Microeconomics", volume = "8", number = "4", pages = "309-342", month = "November", year = "2016", doi = "https://doi.org/10.1257/mic.20160018", url = "https://resolver.caltech.edu/CaltechAUTHORS:20161206-105045384", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/63489, title ="Optimal contracting with moral hazard and behavioral preferences", author = "Chang, Hualei and Cvitanić, Jakša and Zhou, Xun Yu", journal = "Journal of Mathematical Analysis and Applications", volume = "428", number = "2", pages = "959-981", month = "August", year = "2015", doi = "https://doi.org/10.1016/j.jmaa.2015.03.027", url = "https://resolver.caltech.edu/CaltechAUTHORS:20160108-095142845", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/59944, title ="Competition in Portfolio Management: Theory and Experiment", author = "Asparouhova, Elena and Bossaerts, Peter and Čopič, Jernej and Cornell, Brad and Cvitanić, Jakša and Meloso, Debrah", journal = "Management Science", volume = "61", number = "8", pages = "1868-1888", month = "August", year = "2015", doi = "https://doi.org/10.1287/mnsc.2014.1935", url = "https://resolver.caltech.edu/CaltechAUTHORS:20150828-090251047", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/43529, title ="Markets with random lifetimes and private values: mean reversion and option to trade", author = "Cvitanić, Jakša and Plott, Charles and Tseng, Chien-Yao", journal = "Decisions in Economics and Finance", volume = "38", number = "1", pages = "1-19", month = "April", year = "2015", doi = "https://doi.org/10.1007/s10203-014-0155-4", url = "https://resolver.caltech.edu/CaltechAUTHORS:20140128-101150546", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/78273, title ="On managerial risk-taking incentives when compensation may be hedged against", author = "Cvitanić, Jakša and Henderson, Vicky and Lazrak, Ali", journal = "Mathematics and Financial Economics", volume = "8", number = "4", pages = "453-471", month = "September", year = "2014", doi = "https://doi.org/10.1007/s11579-014-0123-3", url = "https://resolver.caltech.edu/CaltechAUTHORS:20170616-103207801", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/78473, title ="Nonmyopic optimal portfolios in viable markets", author = "Cvitanić, Jakša and Malamud, Semyon", journal = "Mathematics and Financial Economics", volume = "8", number = "1", pages = "71-108", month = "January", year = "2014", doi = "https://doi.org/10.1007/s11579-013-0109-6", url = "https://resolver.caltech.edu/CaltechAUTHORS:20170622-142956786", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/43205, title ="Market Microstructure Design and Flash Crashes: A Simulation Approach", author = "Brewer, Paul and Cvitanić, Jakša and Plott, Charles R.", journal = "Journal of Applied Economics", volume = "16", number = "2", pages = "223-250", month = "November", year = "2013", doi = "https://doi.org/10.1016/S1514-0326(13)60010-0", url = "https://resolver.caltech.edu/CaltechAUTHORS:20140103-132748356", } @book {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/101077, title ="Contract Theory in Continuous-Time Models", author = "Cvitanić, Jakša and Zhang, Jianfeng", month = "January", year = "2013", isbn = "978-3-642-14199-7", url = "https://resolver.caltech.edu/CaltechAUTHORS:20200203-133006886", } @misc {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/79481, title ="Market Microstructure Design and Flash Crashes: A Simulation Approach", author = "Brewer, Paul J. and Cvitanić, Jakša and Plott, Charles R.", number = "1365", month = "December", year = "2012", url = "https://resolver.caltech.edu/CaltechAUTHORS:20170727-091614199", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/33126, title ="The Law of Large Numbers for self-exciting correlated defaults", author = "Cvitanić, Jakša and Ma, Jin and Zhang, Jianfeng", journal = "Stochastic Processes and their Applications", volume = "122", number = "8", pages = "2781-2810", month = "August", year = "2012", doi = "https://doi.org/10.1016/j.spa.2012.04.003", url = "https://resolver.caltech.edu/CaltechAUTHORS:20120813-111328071", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/29508, title ="Co-development ventures: Optimal time of entry and profit-sharing", author = "Cvitanić, Jakša and Radas, Sonja and Šikić, Hrvoje", journal = "Journal of Economic Dynamics and Control", volume = "35", number = "10", pages = "1710-1730", month = "October", year = "2011", doi = "https://doi.org/10.1016/j.jedc.2011.05.001 ", url = "https://resolver.caltech.edu/CaltechAUTHORS:20120228-151158196", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/98073, title ="Beliefs regarding fundamental value and optimal investing", author = "Cornell, Bradford and Cvitanić, Jakša and Goukasian, Levon", journal = "Annals of Finance", volume = "6", pages = "83-105", month = "January", year = "2010", doi = "https://doi.org/10.1007/s10436-009-0133-y", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190821-103126134", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/18989, title ="Relative Extinction of Heterogeneous Agents", author = "Cvitanić, Jakša and Malamud, Semyon", journal = "B. E. Journal of Theoretical Economics", volume = "10", number = "1", pages = "Art. No. 4", month = "January", year = "2010", url = "https://resolver.caltech.edu/CaltechAUTHORS:20100712-090750198", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/15193, title ="Credit risk modeling with misreporting and incomplete information", author = "Capponi, Agostino and Cvitanić, Jakša", journal = "International Journal of Theoretical and Applied Finance", volume = "12", number = "1", pages = "83-112", month = "February", year = "2009", doi = "https://doi.org/10.1142/S0219024909005129", url = "https://resolver.caltech.edu/CaltechAUTHORS:20090820-142436958", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/13068, title ="Optimal Compensation with Hidden Action and Lump-Sum Payment in a Continuous-Time Model", author = "Cvitanić, Jakša and Wan, Xuhu and Zhang, Jianfeng", journal = "Applied Mathematics and Optiumization", volume = "59", number = "1", pages = "99-146", month = "February", year = "2009", doi = "https://doi.org/10.1007/s00245-008-9050-0", url = "https://resolver.caltech.edu/CaltechAUTHORS:CVIamo09", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/12521, title ="Principal-Agent Problems with Exit Options", author = "Cvitanić, Jakša and Wan, Xuhu and Zhang, Jianfeng", journal = "B.E. Journal of Theoretical Economics", volume = "8", number = "1", pages = "Art. No. 23", month = "October", year = "2008", url = "https://resolver.caltech.edu/CaltechAUTHORS:CVIbejte08", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/98250, title ="Optimal portfolio allocation with higher moments", author = "Cvitanić, Jakša and Polimenis, Vassilis and Zapatero, Fernando", journal = "Annals of Finance", volume = "4", number = "1", pages = "1-28", month = "January", year = "2008", doi = "https://doi.org/10.1007/s10436-007-0071-5", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190826-124741137", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/98296, title ="Optimal compensation with adverse selection and dynamic actions", author = "Cvitanić, Jakša and Zhang, Jianfeng", journal = "Mathematics and Financial Economics", volume = "1", number = "1", pages = "21-55", month = "April", year = "2007", doi = "https://doi.org/10.1007/s11579-007-0002-2", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190828-102317415", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/19853, title ="Optimal risk-sharing with effort and project choice", author = "Cadenillas, Abel and Cvitanić, Jakša and Zapatero, Fernando", journal = "Journal of Economic Theory", volume = "133", number = "1", pages = "403-440", month = "March", year = "2007", doi = "https://doi.org/10.1016/j.jet.2005.12.007 ", url = "https://resolver.caltech.edu/CaltechAUTHORS:20100909-143417799", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/6977, title ="A filtering approach to tracking volatility from prices observed at random times", author = "Cvitanić, Jakša and Lipster, Robert and Rozovskii, Boris", journal = "Annals of Applied Probability", volume = "16", number = "3", pages = "1633-1652", month = "August", year = "2006", doi = "https://doi.org/10.1214/105051606000000222", url = "https://resolver.caltech.edu/CaltechAUTHORS:CVIaap06", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/6978, title ="Optimal contracts in continuous-time models", author = "Cvitanić, Jakša and Wan, Xuhu and Zhang, Jianfeng", journal = "Journal of Applied Mathematics and Stochastic Analysis", volume = "2006", pages = "Art. No. 95203", month = "February", year = "2006", doi = "https://doi.org/10.1155/JAMSA/2006/95203", url = "https://resolver.caltech.edu/CaltechAUTHORS:CVIjamsa06", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/1253, title ="The Steepest Descent Method for Forward-Backward SDEs", author = "Cvitanić, Jakša and Zhang, Jianfeng", journal = "Electronic Journal of Probability", volume = "10", number = "45", pages = "1468-1495", month = "December", year = "2005", url = "https://resolver.caltech.edu/CaltechAUTHORS:CVIejp05", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/27133, title ="Monte Carlo computation of optimal portfolios in complete markets", author = "Cvitanić, Jakša and Goukasian, Levon and Zapatero, Fernando", journal = "Journal of Economic Dynamics and Control", volume = "27", number = "6", pages = "971-986", month = "April", year = "2003", doi = "https://doi.org/10.1016/S0165-1889(02)00051-9 ", url = "https://resolver.caltech.edu/CaltechAUTHORS:20111010-091503480", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/27128, title ="Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs\r\n", author = "Cvitanić, Jakša and Ma, Jin and Zhang, Jianfeng", journal = "Mathematical Finance", volume = "13", number = "1", pages = "135-151", month = "January", year = "2003", doi = "https://doi.org/10.1111/1467-9965.00010 ", url = "https://resolver.caltech.edu/CaltechAUTHORS:20111007-134050070", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/78202, title ="Utility maximization in incomplete markets with random endowment", author = "Cvitanić, Jakša and Schachermayer, Walter and Wang, Hui", journal = "Finance and Stochastics", volume = "5", number = "2", pages = "259-272", month = "April", year = "2001", doi = "https://doi.org/10.1007/PL00013534", url = "https://resolver.caltech.edu/CaltechAUTHORS:20170614-102418542", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/11813, title ="Reflected forward-backward SDEs and obstacle problems with boundary conditions", author = "Ma, Jin and Cvitanić, Jakša", journal = "Journal of Applied Mathematics and Stochastic Analysis", volume = "14", number = "2", pages = "113-138", month = "January", year = "2001", doi = "https://doi.org/10.1155/S1048953301000090", url = "https://resolver.caltech.edu/CaltechAUTHORS:MAJjamsa01", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/11672, title ="Maximizing the probability of a perfect hedge", author = "Spivak, Gennady and Cvitanić, Jakša", journal = "Annals of Applied Probability", volume = "9", number = "4", pages = "1303-1326", month = "November", year = "1999", doi = "https://doi.org/10.1214/aoap/1029962873", url = "https://resolver.caltech.edu/CaltechAUTHORS:SPIaap99", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/10919, title ="Super-replication in stochastic volatility models under portfolio constraints", author = "Cvitanić, Jakša and Pham, Huyên and Touzi, Nizar", journal = "Journal of Applied Probability", volume = "36", number = "2", pages = "523-545", month = "June", year = "1999", url = "https://resolver.caltech.edu/CaltechAUTHORS:CVIjap99", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/28538, title ="Backward stochastic differential equations with constraints on the gains-process", author = "Cvitanić, Jakša and Karatzas, Ioannis and Soner, H. Mete", journal = "Annals of Probability", volume = "26", number = "4", pages = "1522-1551", month = "October", year = "1998", url = "https://resolver.caltech.edu/CaltechAUTHORS:20111220-131043977", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/29059, title ="Backward stochastic differential equations with reflection and Dynkin games", author = "Cvitanić, Jakša and Karatzas, Ioannis", journal = "Annals of Probability", volume = "24", number = "4", pages = "2024-2056", month = "October", year = "1996", doi = "https://doi.org/10.1214/aop/1041903216", url = "https://resolver.caltech.edu/CaltechAUTHORS:20120201-094412791", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/29219, title ="Hedging Options for a Large Investor and Forward-Backward SDE's", author = "Cvitanić, Jakša and Ma, Jin", journal = "Annals of Applied Probability", volume = "6", number = "2", pages = "370-398", month = "May", year = "1996", url = "https://resolver.caltech.edu/CaltechAUTHORS:20120209-085609546", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/11676, title ="There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs", author = "Soner, H. M. and Shreve, S. E. and Cvitanić, J.", journal = "Annals of Applied Probability", volume = "5", number = "2", pages = "327-355", month = "May", year = "1995", doi = "https://doi.org/10.1214/aoap/1177004767", url = "https://resolver.caltech.edu/CaltechAUTHORS:SONaap95", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/29672, title ="Hedging Contingent Claims with Constrained Portfolios", author = "Cvitanić, Jakša and Karatzas, Ioannis", journal = "Annals of Applied Probability", volume = "3", number = "3", pages = "652-681", month = "August", year = "1993", url = "https://resolver.caltech.edu/CaltechAUTHORS:20120309-140207905", } @article {CaltechAUTHORS_https://authors.library.caltech.edu/id/eprint/29747, title ="Convex Duality in Constrained Portfolio Optimization", author = "Cvitanić, Jakša and Karatzas, Ioannis", journal = "Annals of Applied Probability", volume = "2", number = "4", pages = "767-818", month = "November", year = "1992", url = "https://resolver.caltech.edu/CaltechAUTHORS:20120316-103944783", }