1 citations · 1 across the 6 of their papers we have counts for
7 papers
Time-consistent stopping under decreasing impatience
Yu-Jui Huang, Adrien Nguyen-Huu
Under non-exponential discounting, we develop a dynamic theory for stopping problems in continuous time. Our framework covers discount functions that induce decreasing impatience.…
Inflation and speculation in a dynamic macroeconomic model
Matheus Grasselli, Adrien Nguyen Huu
We study a monetary version of the Keen model by merging two alternative extensions, namely the addition of a dynamic price level and the introduction of speculation. We recall and…
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…
Hedging Expected Losses on Derivatives in Electricity Futures Markets
Adrien Nguyen Huu, Nadia Oudjane
We investigate the problem of pricing and hedging derivatives of Electricity Futures contract when the underlying asset is not available. We propose to use a cross hedging strategy…
Investment under uncertainty, competition and regulation
Adrien Nguyen Huu
We investigate a randomization procedure undertaken in real option games which can serve as a basic model of regulation in a duopoly model of preemptive investment. We recall the r…
Orbits in a stochastic Goodwin-Lotka-Volterra model
Bernardo Costa-Lima, Adrien Nguyen Huu
This paper examines the cycling behavior of a deterministic and a stochastic version of the economic interpretation of the Lotka-Volterra model, the Goodwin model. We provide a cha…