Gordan Zitkovic - personal web site
University of Texas at Austin - Department of Mathematics

Publications

G. Žitković, "Stochastic equilibria and stability in a class of incomplete continuous-time financial environments" (2009)  submitted for publication  pdf  bib

G. Žitković, "On stability of the optimal entropic portfolio in an incomplete financial market" (2009)  in Proceedings of 2009 Daiwa Young Researchers' International Workshop in Finance, to appear   bib

M. Anthropelos, G. Žitković, "Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability" (2009)  to appear in Annals of Finance  pdf  bib

G. Žitković, "A dual characterization of self-generation and exponential forward performances" (2008)  to appear in Annals of Applied Probability  pdf  bib

G. Žitković, "Utility theory: historical perspectives" (2008)  in Encyclopedia of Quantitative Finance, John Wiley and Sons Inc., New York, to appear   bib

M. Anthropelos, G. Žitković, "On Agents' Agreement and Partial-Equilibrium Pricing in Incomplete Markets" (2008)  to appear in Mathematical Finance  pdf  bib

G. Žitković, "Convex-compactness and its applications" (2008)  submitted for publication  pdf  bib

T. Zariphopoulou, G. Žitković, "Maturity-independent risk measures" (2008)  submitted for publication  pdf  bib

C. Kardaras, G. Žitković, "Stability of the utility maximization problem with random endowment in incomplete markets" (2007)  to appear in Mathematical Finance  pdf  bib

T. A. Pirvu, G. Žitković, "Maximizing the growth rate under risk constraints" (2009)  Mathematical Finance  vol.19 no. 3  pp. 423--455  pdf  bib

M. Owen, G. Žitković, "Optimal Investment with an Unbounded Random Endowment and Utility-Based Pricing" (2009)  Mathematical Finance  vol.19 no. 1  pp. 129--159  pdf  bib

K. Larsen, G. Žitković, "Stability of utility-maximization in incomplete markets" (2007)  Stochastic Processes and their Applications  vol.117 no. 11  pp. 1642-1662  pdf  bib

K. Larsen, G. Žitković, "On the semimartingale property via bounded logarithmic utility" (2008)  Annals of Finance  vol.4 no. 2  pp. 255--268  pdf  bib

G. Žitković, "Financial equilibria in the semimartingale setting: complete markets and markets with withdrawal constraints" (2006)  Finance and Stochastics  vol.10 no. 1  pp. 99--119  pdf  bib

G. Žitković, "Utility maximization with a stochastic clock and an unbounded random endowment" (2005)  Annals of Applied Probability  vol.15 no. 1B  pp. 748--777  pdf  bib

I. Karatzas, G. Žitković, "Optimal consumption from investment and random endowment in incomplete semimartingale markets" (2003)  Annals of Probability  vol.31 no. 4  pp. 1821--1858  pdf  bib

G. Žitković, "A filtered version of the bipolar theorem of Brannath and Schachermayer" (2002)  Journal of Theoretical Probability  vol.15 no. 1  pp. 41--61  pdf  bib