Research

Research Interest - Investment, Fintech (blockchain) and CBDC, (Dynamic) Contracting, Financial Engineering, Consumption, Portfolio Selection and Asset Pricing

Publications

1. Endogenous Credit, Business Cycle, and Portfolio Selection (with H. K. Koo, B.H. Lim, and J. Yoo)  Operations Research  (in press). working paper version at SSRN  and  Online Appendix

2. A Dual Approach to Agency Problems (with C. Chi)  Journal of Mathematical Economics 109 (2023), 102909. working paper version at SSRN

3. Valuing Real Options with Endogenous Payoff (with M. Kwak)  Quantitative Finance 21 (2022), 2109-2123. working paper version at SSRN

4. Optimal Long-term Contracts with Limited Commitment and Unobservable Disabililty (with J. Jeon, H. Lee, and H. Lin)  Insurance: Mathematics and Economics 104 (2022), 99-132. working paper version at  SSRN

5. Intertemporal Preference with Loss Aversion: Consumption and Risk Attitude (wiith J. Jeon and H. K. Koo)  Journal of Economic Theory 200 (2022),  105380.
   Online Appendix, working paper  version at SSRN 

6. A Proposal for a Canadian Central Bank Digital Currency (with  R. Henry, A. Lehar, J. Reardon, and Rei Safavi-Naini)  Bank of Canada Model X project report (2021), 
   link to the Bank of Canada announcement for Central Bank Digital Currency (CBDC)  

7. Optimal Consumption and Investment under Time-Varying Liquidity Constraints (with S. Ahn and B.H. Lim)  Journal of Financial and Quantitative Analysis 54 (2019), 1643-1681.

8. MNEs' Corporate Social Responsibility: An Optimal Investment Decision Model (with W. Oh, Y.K. Chang, and M.K. Jeon)  European Journal of International Management 13 (2019), 307-327.

9. The Impact of Firm Size on Dynamic Incentives and Investment (with C. Chi)  Rand Journal of Economics 48 (2017), 147-177.  Online Appendix & Slide. working  paper version at SSRN

10. Time Preference and Real Investment (with M. Kwak and G. Shim)  Journal of Economic Dynamics and Control 83 (2017), 18-33, working paper version at SSRN

11. A Simple Asset Pricing Model with Heterogeneous Agents, Uninsurance Labor Income and Limited Stock Market Participation (with S. Ahn and H. K. Koo)  Journal of Banking and Finance 55 (2015), 9-22.

12. Credit Crunches as Markov Equilibria (with C. Azariadis)  Journal of Macroeconomics 38 (Part A) (2013), Special Issue on Dynamics, Economic Growth & International Trade, 2-11.

13. Optimal Portfolio, Consumption, and Retirement Choice Problem with CES Utility (with G. Shim and  Y. H. Shin)  Mathematical Finance 18 (2008), 445-472.

14. Disutility, Optimal Retirement, and Portfolio Selection (with G. Shim)  Mathematical Finance 16 (2006), 443-467.

15. A Preference Change and Discretionary Stopping in a Consumption and Portfolio Selection Problem (with H. K. Koo)  Mathematical Methods of Operations Research 61 (2005), 419-435.

16. Optimal Stopping of Active Portfolio Management (with H. K. Koo and D. Kwak)  Annals of Economics and Finance 5 (2004), 93-126.

Working Papers

• Bitcoin Microstructure and the Kimchi Premium (with  A. Lehar and R. Stauffer)   R&R, Journal of Financial and Quantitative Analysis

• Consumption  Heterogeneity, Business Cycle, and Asset Pricing (with J. Jeon and H. K. Koo) 

• Comsumption and Labor-Leisure Choices: YOLO  and Long-Run Sustainabilty (with M. Kwak and B.H. Lim) 

• Optimal Recursive Utility Maximization with Debt-to-Income Limits? (with M. Kwak and B.H. Lim) 

• Optimal Staking and Liquid Token Holding Decisions in Cryptocurrency Markets (with J. Jeon, M. Kwak, and B.H. Lim) 

• What Doesn't Kill You Makes You Riskier: The Impacts of CBDC on Banking Stability (with K. Rhee)

• Decentralization of Information Production (with J. Park)

• Asset Pricing with Consumption Frictions (with J. Jeon and H. K. Koo)  Online Appendix (Supplemental Material) 

• The Role of Housing Net Worth  in Determining Household Credit Limits (with B.H. Lim, H. K. Koo, and J. Yoo)

• Intertemporal Preference with Loss Aversion: Aggregate Consumption and Asset Management (with J. Jeon and H. K. Koo)

• Decision Horizon and Idiosyncratic Risk (with M. Kwak, G. Shim, and W. Wei)

• When Does Limited Commitment Matter in a Production Economy?  (with J. Lee) 

Old Working Papers

• Mirrlees Meets Modigliani-Miller: Double Taxation and Capital Structure

Other Publications (policy papers, book chapters, etc)

• Impact of CBDC on Finance and Fintech Industries: A New Perspective (CBDC의  도입이 금융및 핀테크 시장에 미칠 영향에 관한 새로운 관점) 글로벌금융학회  3(2), (2022) 31-57

• 보험업 시스템 리스크 가능성  및  부실보험회사  정리제도 연구 (A Study on Systemic Risks in Insurance Sectors and Resuolution Schemes of Insolvent Insurance Firms) with K. Rhee, KDI  연구보고서, 2018-05

• A New Perspective on Corporate Social Responsibility for MNEs: Real Options Theory (with W. Oh and Y. K. Chang)  New Perspectives on the Challenges and Future Developments of Global Enterprise Management (2015), Palgrave Macmillan, edited by Angelo Camillo, Vol II, 107-120.