Yu-Jui Huang

University of Colorado at Boulder - Department of Applied Mathematics

Assistant Professor

Boulder, CO 80309

United States

http://www.yujui-huang.com

  • University of Colorado at Boulder - Department of Applied Mathematics

SCHOLARLY PAPERS

9

DOWNLOADS

980

TOTAL CITATIONS
Rank 33,000

SSRN RANKINGS

Top 33,000

in Total Papers Citations

16

Scholarly Papers (9)

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1.

Healthcare and Consumption with Aging

Number of pages: 40 Posted: 14 Jul 2016 Last Revised: 23 Sep 2016
Paolo Guasoni, Paolo Guasoni and Yu-Jui Huang
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and University of Colorado at Boulder - Department of Applied Mathematics
Downloads 206 (319,941)

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healthcare, consumption, aging, mortality, Gompertz law

2.

American Student Loans: Repayment and Valuation

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-11
Number of pages: 19 Posted: 23 Oct 2020 Last Revised: 26 Oct 2020
Paolo Guasoni, Paolo Guasoni, Yu-Jui Huang and Saeed Khalili
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, University of Colorado at Boulder - Department of Applied Mathematics and University of Colorado at Boulder
Downloads 179 (364,023)

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student loans, repayment, valuation, loan forgiveness

3.

Outperforming the Market Portfolio with a Given Probability

The Annals of Applied Probability (2012), Vol. 22, No. 4, 1465-1494
Number of pages: 30 Posted: 01 Feb 2014
Erhan Bayraktar, Yu-Jui Huang and Qingshuo Song
University of Michigan at Ann Arbor - Department of Mathematics, University of Colorado at Boulder - Department of Applied Mathematics and City University of Hong Kong (CityU)
Downloads 170 (381,166)

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strict local martingale deflators, optimal arbitrage, quantile hedging, viscosity solutions, nonuniqueness of solutions of nonlinear PDEs

4.

On Hedging American Options Under Model Uncertainty

Number of pages: 20 Posted: 27 Jan 2014
Erhan Bayraktar, Yu-Jui Huang and Zhou Zhou
University of Michigan at Ann Arbor - Department of Mathematics, University of Colorado at Boulder - Department of Applied Mathematics and The University of Sydney
Downloads 109 (544,768)
Citation 3

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American options, model independent pricing, semi-static hedging strategies

5.

Model-Independent Superhedging Under Portfolio Constraints

Number of pages: 27 Posted: 13 Feb 2014 Last Revised: 18 Jan 2015
Arash Fahim and Yu-Jui Huang
Florida State University - Department of Mathematics and University of Colorado at Boulder - Department of Applied Mathematics
Downloads 73 (702,002)
Citation 2

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model-independent pricing, robust superhedging, fundamental theorem of asset pricing, portfolio constraints, Monge-Kantorovich optimal transport

6.

Time-Consistent Stopping Under Decreasing Impatience

Number of pages: 29 Posted: 18 Feb 2015
Yu-Jui Huang and Adrien Nguyen Huu
University of Colorado at Boulder - Department of Applied Mathematics and Université Paris Dauphine
Downloads 72 (707,467)
Citation 7

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Time-inconsistency, Decreasing impatience, Optimal Stopping, Hyperbolic discounting, Markov subgame perfect equilibrium

7.

Stopping Behaviors of Naive and Non-Committed Sophisticated Agents When They Distort Probability

Number of pages: 36 Posted: 13 Sep 2017
Yu-Jui Huang, Adrien Nguyen-Huu and Xun Yu Zhou
University of Colorado at Boulder - Department of Applied Mathematics, Université Montpellier I and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 60 (779,583)
Citation 4

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optimal stopping, probability distortion, time inconsistency, naive and sophisticated agents, equilibrium stopping law

8.

On the Multi-Dimensional Controller-and-Stopper Games

SIAM Journal on Control and Optimization (2013), Vol. 51, No. 2, pp. 1263-1297.
Number of pages: 35 Posted: 01 Feb 2014
Erhan Bayraktar and Yu-Jui Huang
University of Michigan at Ann Arbor - Department of Mathematics and University of Colorado at Boulder - Department of Applied Mathematics
Downloads 60 (779,583)

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controller-stopper games, weak dynamic programming principle, viscosity solutions, robust optimal stopping

9.

Robust Maximization of Asymptotic Growth Under Covariance Uncertainty

The Annals of Applied Probability (2013), Vol. 23, No. 5, pp. 1817–1840.
Number of pages: 25 Posted: 01 Feb 2014
Erhan Bayraktar and Yu-Jui Huang
University of Michigan at Ann Arbor - Department of Mathematics and University of Colorado at Boulder - Department of Applied Mathematics
Downloads 51 (844,765)

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asymptotic growth rate, robustness, covariance uncertainty, Pucci’s operator, principal eigenvalue for fully nonlinear elliptic operators