Research

Selected Working Papers:

• ``Lifetime Portfolio Choice with Costly Adjustment for Living Stardads," with Junkee Jeon and Jehan Oh.

• "Growth and fund structures ," with Constantinos Kardaras and Johannes Ruf.

• ``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.

• "Optimal Hedging of a Contingent Claim with Ambiguity Aversion," with ChongSeok Hyun and Seyoung  Park, 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, forthcoming in SIAM Journal on Financial Mathematics.

• "Human capital and portfolio choice: borrowing constraint and reversible retirement," with Junkee Jeon and Minsuk Kwak, Mathematics and Financial Economics , 2024,  https://doi.org/10.1007/s11579-024-00362-2.

• "Limited Commitment, Business Cycle, and Portfolio Selection," with Kyoung Jin Choi, Byung Hwa Lim, and Jane Yoo,  Operations Research, 2023, https://doi.org/10.1287/opre.2021.0351.

• "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.

• "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 .