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Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/about/terms.html. JSTOR's Terms and Conditions of Use provides, in… (More)

- Jaksa Cvitanic, Walter Schachermayer, Hui Wang
- Finance and Stochastics
- 2001

This paper solves in great generality a problem in mathematical finance: to find a solution to the problem of maximizing utility from terminal wealth of an agent with a random endowment process, in… (More)

- A MARTINGALE, Jaksa Cvitanic, Ioannis Karatzas
- 2006

We derive a formula for the minimal initial wealth needed to hedge an arbitrary contingent claim in a continuous-time model with proportional transaction costs; the expression obtained can be… (More)

We study the problem of portfolio optimization under the \drawdown constraint" that the wealth process never falls below a xed fraction of its maximum-to-date, and one strives to maximize the… (More)

- Jaksa Cvitanic, Ioannis Karatzas
- Finance and Stochastics
- 1999

In the context of complete nancial markets, we study dynamic measures for the risk associated with a given liability C at time t = T , of the form (x; C) := sup 2D inf ()2A(x) S 0 (T) + : Here x is… (More)

- Jaksa Cvitanic
- SIAM J. Control and Optimization
- 2000

We study the problem of minimizing the expected discounted loss E e ? R T 0 r(u)du (C ? X x;; (T)) + when hedging a liability C at time t = T , using an admissible portfolio strategy () and starting… (More)

We introduce a model that captures the main properties that characterize employee stock options (ESO), in particular, the likelihood of early voluntary exercise and the obligation to exercise… (More)

- Abel Cadenillas, Jaksa Cvitanic, Fernando Zapatero
- J. Economic Theory
- 2007

We consider first-best risk-sharing problems in which “the agent” can control both the drift (effort choice) and the volatility of the underlying process (project selection). In a model of delegated… (More)

This book provides a rigorous mathematical treatment of the principal-agent problem in its three main forms: • Risk sharing under full information. In this case, the principal and the agent share the… (More)

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion… (More)