1 citations · 1 across the 4 of their papers we have counts for
4 papers
From debt crises to financial crashes (and back): a stock-flow consistent model for stock price bubbles
Matheus R. Grasselli, Adrien Nguyen-Huu
We develop a stochastic macro-financial model in continuous time by integrating two specifications of the Keen economic framework with a financial market driven by a jump-diffusion…
General Stopping Behaviors of Naive and Non-Committed Sophisticated Agents, with Application to Probability Distortion
Yu-Jui Huang, Adrien Nguyen-Huu, Xun Yu Zhou
We consider the problem of stopping a diffusion process with a payoff functional that renders the problem time-inconsistent. We study stopping decisions of naive agents who reoptim…
Inventory growth cycles with debt-financed investment
Matheus Grasselli, Adrien Nguyen-Huu
We propose a continuous-time stock-flow consistent model for inventory dynamics in an economy with firms, banks, and households. On the supply side, firms decide on production base…
Optimal Sharing Rule for a Household with a Portfolio Management Problem
Adrien Nguyen Huu, Oumar Mbodji, A Nguyen-Huu +1
We study the Merton problem of optimal consumption-investment for the case of two investors sharing a final wealth. The typical example would be a husband and wife sharing a portfo…