Selected Working Papers:
"Consumption Heterogeneity, Business Cycle, and Asset Pricing" with Kyoung Jin Choi, Junkee Jeon, and Jehan Oh, R&R at Journal of Monetary Economics.
"Optimal Consumption and Portfolio Rules with Dynamic Adjustment of Consumption Bounds," with Junkee Jeon and Kexin Chen, 3rd Round R&R at Finance and Stochastics.
"Consumption and Portfolio Choice with Costly Adjustment for Living Stardads," with Junkee Jeon and Jehan Oh.
"Growth and fund structures," with Constantinos Kardaras and Johannes Ruf, R&R at Mathematical Finance.
"Asset Pricing with Consumption Frictions", with Kyoung Jin Choi and Junkee Jeon (Supplemental Material).
"Intertemporal Preference with Loss Aversion: Asset Management and Aggregate Consumption," with Kyoung Jin Choi and Junkee Jeon.
"When Push Comes To Shove: Government and The Finance of Industrialization in South Korea, 1960-1996," with Joost Jonker and Jae Woong Jung, 2018.
"Does It Pay To Go Outside Your Comfort Zone?" with Philip A. Dybvig and Bong-Gyu Jang, 2017.
"Investment with Taxes," with Philip A. Dybvig, 1996.
Selected Publications:
"A Two-person Zero Sum Game Approach for a Retirement Decision with Borrowing Constraints," with Junkee Jeon and Minsuk Kwak, SIAM Journal on Financial Mathematics 15(3), 2024, 883--930.
"Human capital and portfolio choice: borrowing constraint and reversible retirement," with Junkee Jeon and Minsuk Kwak, Mathematics and Financial Economics 18, 2024, 113-150.
"Endogenous Credit, Business Cycle, and Portfolio Selection," with Kyoung Jin Choi, Byung Hwa Lim, and Jane Yoo, Operations Research 72(3), 2024, 871--884.
"An Analysis of the evolution of the global financial network of the coordinated portfolio investment survey," with Sang Jin Ahn, Jaewoong Jung, and Seryoong Ahn, International Review of Finance 23(2), 2023, 437-459.
"Intertemporal Preference with Loss Aversion: Consumption and Risk Attitude," with Kyoung Jin Choi and Junkee Jeon, Journal of Economic Theory 200, 2022, 105380, https://doi.org/10.1016/j.jet.2021.105380.
"Optimal finite horizon contract with limited commitment,” with Junkee Jeon and Kyunghyun Park, Mathematics and Financial Economics 16, 2022, 267-315. https://doi.org/10.1007/s11579-021-00309-x.
"Optimal Retirement in a General Market Environment,” with Zhou Yang and Yong Hyun Shin, Applied Mathematics & Optimization 84, 2021, 1083-1130.
"Social insurance for the elderly," with Se Yung Bae, Junkee Jeon, and Kyunghyun Park, Economic Modelling 91, 2020, 274-299.
"Optimal consumption and investment with insurer default risk," with Bong-Gyu Jand and Seyoung Park, Insurance: Mathematics and Economics 88, 2019, 44-56.
“Portfolio selection with consumption ratcheting,” with Junkee Jeon and Yong Hyun Shin, Journal of Economic Dynamics and Control, 92, 2018, 153-182.
“Optimal Consumption and Portfolio Selection with Early Retirement Option,” with Zhou Yang, Mathematics of Operations Research, 43(4), 1378-1404.
“Asset demands and consumption with longevity risk,” with Bong-gyu Jang and Yuna Rhee, Economic Theory, 62(3), 2016, 587-633.
"Entrepreneurial Decisions on Effort and Project with a Non-Concave Objective Function ,” with Alain Bensoussan and Abel Cadenillas, Mathematics of Operations Research, 40(4), 2015, 902-914.
“A Dynkin Game under Knightian Uncertainty,” with Shanjian Tang and Zhou Yang, Discrete and Continuous Dynamical Systems-Series A, 35(11), 2015, 5467-5498.
“A Simple Asset Pricing Model with Heterogeneous Agents, Uninsurable Labor Income and Limited Stock Market Participation,” with Seryoong Ahn and Kyoung Jin Choi, Journal of Banking and Finance, 50, 2015, 9-22.
“Option Pricing and Greeks via a Moving Least Square Meshfree Method,” with Yongsik Kim and Hyeong-Ohk Bae, Quantitative Finance, 14(10), 2014, 1753-1764.
“A Generalization of Dybvig's Result on Portfolio Selection with Intolerance for Decline in Consumption,” with Byung Lim Koo, Jung Lim Koo, and ChongSeok Hyun, Economics Letters, 117(3), 2012, 646-649.
“Optimal Switching of One-Dimensional Reflected BSDEs, and Associated Multi-Dimensional BSDEs with Oblique Reflection,” with Shanjian Tang and Wei Zhong, SIAM Journal on Control and Optimization, 49(6), 2011, 2279-2317.
“Optimal Multi-Agent Performance Measures for Team Contracts,” with Gyoocheol Shim and Jaeyoung Sung, Mathematical Finance, 18(4), 2008, 649-667.
“Liquidity Premia and Transaction Costs,” with Bong-Gyu Jang, Hong Liu, and Mark Loewenstein, Journal of Finance, 62(5), 2007, 2329-2366.
“A Wealth Dependent Investment Opportunity - Its Effects on Optimal Consumption and Investment Decisions,” with Sung Sub Choi, Gyoocheol Shim, and Thaleia Zariphopoulou, Annals of Economics and Finance, 4(2), 2003, 427-469.
“Asian Contagious Financial Crisis and Its Impact on Korea,” with Youn-Suk Kim, Journal of Asian Economics, 10(1), 1999, 111-121.
“Consumption and Portfolio Selection with Labor Income: A Discrete Time Approach,” Mathematical Methods of Operations Research, 50(2), 1999, 219-243.
“Consumption and Portfolio Selection with Labor Income: A Continuous-time Approach,” Mathematical Finance, 8(1), 1998, 49-65.
“A Comparison of Numerical and Analytic Approximate Solutions to an Intertemporal Consumption Choice Problem,” with John Y. Campbell, Journal of Economic Dynamics and Control, 21(2), 1997, 273-295.
“The Injectivity of a Division Ring D as a Left D*D module,” Communications in Algebra, 18(2), 1990, 453-461.
“Isomorphic Ore Extensions,” with Ephraim Armendariz and Jae Keol Park, Communications in Algebra, 15(12), 1987, 2633-2652.
“Compressible Group Algebras,'' with Ephraim Armendariz and Jae Keol Park, Communications in Algebra, 13(8), 1985, 1763-1777.
Surveys:
"Continuous-Time Portfolio Selection: A Cursory Survey," with Se Young Bae and Junkee Jeon, frontiers in Applied Mathematics and Statistics, 6, 2020, 1-9.
“A Survey on American Options: Old Approaches and New Trends,” with Seryoong Ahn, Hyeong-Ohk Bae, and Kijung Lee, Bulletin of the Korean Mathematical Society, 48(4), 2011, 791-812.
Books
Political Economy and Finance of China in the Middle Ages (in Korean), Ajou University, 2017.
History of Finance, a book edited with Sooyoung Song (in Korean), Ajou University, 2012.
New Trends in Financial Engineering: Works Under the Auspices of the World Class University Program of Ajou University, (edited book), IOS Press, 2011 .
New Economics (in Korean), with Youn-Suk Kim, Maeil Economic Daily, 1998.
Modern Investment Theory and Practice (in Korean), with Kapsoo Oh, Bak Young Pub. 1998,
A Vision for the Korean Economy in the 21st Century, with Youn-Suk Kim, Maeil Economic Daily, 1996.