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Economics and Finance

D-Index
41
Citations
8258
World Ranking
2173
National Ranking
1251

Overview

Jakša Cvitanić is affiliated with the California Institute of Technology in the United States. Their research primarily focuses on the intersection of economics, econometrics, and finance, contributing to fields that include finance, economics and econometrics, management science and operations research, and computer science applications.

Their work covers topics such as financial markets and investment strategies, economic theories and models, stochastic processes with financial applications, auction theory and applications, game theory and voting systems, and mobile crowdsensing and crowdsourcing.

Recent publications authored by Cvitanić include:

  • Incentive-Compatible Surveys via Posterior Probabilities, 2020, Theory of Probability and Its Applications
  • Optimal fund menus, 2021, Mathematical Finance
  • Honest Binary Choice: The Two Player Case, 2024, SSRN Electronic Journal

Frequent collaborators in their research include Dražen Prelec, Sonja Radas, Hrvoje Šikić, and Julien Hugonnier, with multiple joint publications recorded with some of these co-authors.

Jakša Cvitanić's work has been published in notable venues such as Mathematical Finance, Theory of Probability and Its Applications, and SSRN Electronic Journal.

Best Publications

  • Convex Duality in Constrained Portfolio Optimization

    Jakša Cvitanić;Ioannis Karatzas

  • Backward stochastic differential equations with reflection and Dynkin games

    Jakša Cvitanić;Ioannis Karatzas

  • HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH ⁄

    Jakša Cvitanić;Ioannis Karatzas

  • Hedging Contingent Claims with Constrained Portfolios

    Jaksa Cvitanic;Ioannis Karatzas

  • There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs

    H. M. Soner;S. E. Shreve;J. Cvitanić

  • Introduction to the economics and mathematics of financial markets

    Jakša Cvitanić;Fernando Zapatero

  • On dynamic measures of risk

    Jakša Cvitanić;Ioannis Karatzas

  • HEDGING OPTIONS FOR A LARGE INVESTOR AND FORWARD-BACKWARD SDE'S

    Jakša Cvitanić;Jin Ma

  • Utility maximization in incomplete markets with random endowment

    Jakša Cvitanić;Walter Schachermayer;Hui Wang

  • Contract Theory in Continuous-Time Models

    Jakša Cvitanić;Jianfeng Zhang

  • Optimal Consumption Choices for a ‘Large’ Investor

    Domenico Cuoco;Jakša Cvitanić

  • On portfolio optimization under "drawdown" constraints

    Jaksa Cvitanic;Ioannis Karatzas

  • Leverage decision and manager compensation with choice of effort and volatility

    Abel Cadenillas;Jakša Cvitanić;Fernando Zapatero

  • A closed-form solution to the problem of super-replication under transaction costs

    Jakša Cvitanić;Huyên Pham;Nizar Touzi

  • Super-replication in stochastic volatility models under portfolio constraints

    Jakša Cvitanić;Huyên Pham;Nizar Touzi

  • Optimal Replication of Contingent Claims under Portfolio Constraints

    Mark Broadie;Jakša Cvitanić;H. Mete Soner

  • Financial Markets Equilibrium with Heterogeneous Agents

    Jaksa Cvitanic;Elyès Jouini;Semyon Malamud;Clotilde Napp

  • Dynamic Programming Approach to Principal-Agent Problems

    Jakša Cvitanić;Dylan Possamaï;Nizar Touzi

  • Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets

    Jaksa Cvitanic

  • Option pricing, interest rates and risk management

    E. Jouini;J. Cvitanic;Marek Musiela

  • Optimal Replication of Contingent Claims under Portfolio Constraints

    Mark Broadie;Jaksa Cvitanic;Halil Mete Soner

Frequent Co-Authors

Bradford Cornell
Bradford Cornell University of California, Los Angeles
Charles R. Plott
Charles R. Plott California Institute of Technology
Peter Bossaerts
Peter Bossaerts University of Cambridge
Walter Schachermayer
Walter Schachermayer University of Vienna
Mark Broadie
Mark Broadie Columbia University
Xun Yu Zhou
Xun Yu Zhou Columbia University

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