Research Interest - (Real and Financial) Investment, Fintech (blockchain), CBDC, Portfolio Selection, Contracting, Consumption & Household Finance, Asset Pricing
Publications
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
A Dual Approach to Agency Problems: Existence (with C. Chi) Journal of Mathematical Economics 109 (2023), 102909. working paper version at SSRN
Valuing Real Options with Endogenous Payoff (with M. Kwak) Quantitative Finance 21 (2022), 2109-2123. working paper version at SSRN
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
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
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)
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.
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.
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
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
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.
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.
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.
Optimal Portfolio, Consumption, and Retirement Choice Problem with CES Utility (with G. Shim and Y. H. Shin) Mathematical Finance 18 (2008), 445-472.
Disutility, Optimal Retirement, and Portfolio Selection (with G. Shim) Mathematical Finance 16 (2006), 443-467.
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.
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
media coverages
Bitcoin is now trading near $66000 in South Korea along with the return of "Kimchi Premium at Tunk News, April 2021; "Kimchi Premium" Hits 15 Percent at Bitcoin Magazine, April 2021; Bitcoin Retail FOMO Brings a Heap of 'Kimchi Premium' to S. Korea at The Block Crypto, April 2021, First Mover: Bitcoin Hits Record as 'Blue Wave' and 'Kimchi Premium' Look Bullish at CoinDesk, January 2021, Bitcoin Kimchi Premium Vanishes Again at Yahoo Finance, August 2019, and so on
presented at FintechQC, Shanghi Summer Institute of Finance conference, UBC summer finance conference, Bank of Canada/Payments Canada conference, Crypto Valley Conference, etc
Optimal Recursive Utility Maximization with Debt-to-Income Limits? (with M. Kwak and B.H. Lim,)
Labor-Leisure Choices in the Long Run: Is YOLO Sustainable? (with M. Kwak and B.H. Lim,)
presented at SIAM conference on Financial Mathematics and Engineering
Optimal Staking and Liquid Token Holding Decisions in Cryptocurrency Markets (with J. Jeon and B.H. Lim)
Consumption Heterogeneity, Business Cycle, and Asset Pricing (with J. Jeon and H. K. Koo)
presented at NFA, CICF, Econometric Society World Congress
What Doesn't Kill You Makes You Riskier: The Impacts of CBDC on Banking Stability (with K. Rhee)
presented at Bank of Korea, Korean Economic Society Meeting, Yonsei University, University of Calgary
Decentralization of Information Production (with J. Park)
presented at NASMES (North American Summer Econometric Society Meeting) and KAFE-JAFEE International Conference (received an excellent paper award)
Asset Pricing with Consumption Frictions (with J. Jeon and H. K. Koo) Online Appendix (Supplemental Material)
presented at NFA, CICF, Econometric Society World Congress
The Role of Housing Net Worth in Determining Household Credit Limits (with B.H. Lim, H. K. Koo, and J. Yoo)
presented at NFA, FMA, Asian Meeting of Econometric Society
Intertemporal Preference with Loss Aversion: Aggregate Consumption and Asset Management (with J. Jeon and H. K. Koo)
presented at NFA, CICF, NASMES, JAFEE-Columbia-NUS Conference, AQFC, QMF, Workshop on Stochastic Processes and Related Topics
Decision Horizon and Idiosyncratic Risk (with M. Kwak, G. Shim, and W. Wei)
presented at NFA, FMA, MFA, and Annual Real Options Conference
When Does Limited Commitment Matter in a Production Economy? (with J. Lee)
presented at NASMES
Work in Progress
Investment under Idiosyncratic Risk (with W. Wei)
Insurance Runs and Solvency of Insurers (with K. Rhee)
Design of a Real Option Contract (with C. Chi)
Old Working Papers
Mirrlees Meets Modigliani-Miller: Double Taxation and Capital Structure
Reputational Lending and Financial Crises (with C. Azariadis): earlier version available upon request