Research Interests

Portfolio Optimization, Asset Pricing, Market Microstructure, Derivatives, Blockchain and crypto-assets, FinTech, Machine Learning in Finance

Working Papers and Work in Progress

1. Collateral-Constrained Real-Asset Management: A Singular Control Approach (with K.J. Choi and M. Kwak) 

2. Oligopolistic Kyle models: Discrete-time limits and continuous-time admissibility (with J. Choi and S. J. Kim) R&R at SIAM Journal on Financial Mathematics

3. MarketGANs: Multivariate financial time-series data augmentation using generative adversarial networks (with J. Huh, S. Jeong, H.-G. Kim, and H.K. Koo) (ArXiv) R&R at Financial Innovation

4. Liquid–Illiquid Conversion via Singular Control: Staking and Partial Commitment (with K.J. Choi, J.K. Jeon, and M. Kwak) (SSRN) (Online Appendix) R&R at Management Science

• Presented in 2023 경제학공동학술대회, 2023 Global AI Finance Research Conference, 2024 Asia Quantitative Finance Conference, 2024 Informs Conference on Financial Engineering and FinTech, SFS Cavalcade Asia-Pacific 2024, 2026 Bachelier Finance Society

5. Breaking the Dimensional Barrier: A Pontryagin-Guided Direct Policy Optimization for Continuous-Time Multi-Asset Portfolio Choice (with J. Huh, J. Jeon, and H.K. Koo) (SSRN) (Online_Appendix) 

   • Presented in 2025 KDA

6. Breaking the Dimensional Barrier for Constrained Dynamic Portfolio Choice (with H. Huh, J. Jeon, and H.K. Koo) (SSRN) R&R at Mathematical Finance

   • Presented in 2025 KDA

7. Bounded Rationality, Reinforcement Learning, and Market Efficiency (with J. Huh and H.S. Doh) (SSRN) Reject & Resubmit at Management Science

   • Presented in 2025 CICF

8. Recursive Utility with Endogenous Labor: A Free-Boundary Analysis (with K. J. Choi and M. Kwak) (SSRN)

• Presented in 2024 EFMA

9. Demand for Life Insurance of a Family with a Working Couple (with M. Kwak and H.K. Koo)

10. When to go from renter to homeowner? (with H.S. Lee)

11. Continuous-time Portfolio Optimization via Model-based Reinforcement Learning (with J. Huh, S.W. Jeong, H.K. Kim, and H.K. Koo)

    • Presented in 2024 FMA Asia/Pacific, 2024 KMS, 2024 Asia Quantitative Finance Conference

12. Oligopolistic Market Making in a Security Market (with H.K. Koo)

Peer-Reviewed Journal Articles

International Journal Articles (SSCI & SCIE Indexed)

1. Household Net Worth, Income, and Credit Limits (with K.J. Choi, H.K. Koo, and J. Yoo) (SSRN), forthcoming, The Korean Economic Review

2. Optimal Recursive Utility Maximization with Debt-to-Income Limits (with K.J. Choi and M. Kwak), Quantitative Finance, 2025, Volume 25(2), pp. 1939-1956

• Presented in 2024 KMS

3. Endogenous Credit, Business Cycle, and Portfolio Selection (with K.J. Choi, H.K. Koo, and J. Yoo), Operations Research, 2024, Volume 72, No. 3, pp.871-884

   • Media Coverage: The conversation, "The growing wealth divide: Should average Canadians follow Warren Buffett’s investment strategy?," June 6, 2024

4. Personal Bankruptcy and Post-bankruptcy Liquidity Constraint (with H.S. Lee), Journal of Banking & Finance, 2023, Volume 152, 106861

5. Consumption and Life Insurance Decision with Hyperbolic Discounting and Taxation (with Ja Eun Koo), Economic Modelling, 2021, Volume 94, pp.288-295.

6. Household utility maximization with life insurance: a CES utility case (with Ho-Seok Lee), Japan Journal of Industrial and Applied Mathematics, 2021, Volume 38, pp.271–295.

5. Optimal Consumption and Investment under Time-Varying Liquidity Constraints (with Seryoong Ahn and Kyoung Jin Choi), Journal of Financial & Quantitative Analysis, 2019, Volume 54 (4), pp.1643-1681.

6. The impact of a partial borrowing limit on financial decisions (with Minsuk Kwak), Quantitative Finance, 2019, Volume 19, pp.859-883.

7. Portfolio Decision with a Quadratic Utility and Inflation Risk (with Ho-Seok Lee) Advances in Difference Equations, 2018, 366.

8. The effects of pre-/post-retirement downside consumption constraints on optimal consumption, portfolio, and retirement (with Ho-Seok Lee and Yong Hyun Shin), Finance Research Letters, 2018, Volume 25, pp.213-221.

9. Robust Consumption and Portfolio Rules with Time-Varying Model Confidence (with Bong-Gyu Jang and Seungkyu Lee), Finance Research Letters, 2016, Volume 18, pp.342-352.

10. Bequest Motive and Incentive to Retire: Consumption, Investment, Retirement, and Life Insurance Strategies (with Minsuk Kwak), Finance Research Letters, 2016, Volume 16, pp.19-27.

11. Optimal portfolio selection with life insurance under inflation risk (with Minsuk Kawk), Journal of Banking & Finance, 2014, Volume 46, pp.59-71

12. Optimal Investment, Consumption, and Retirement Decision with Disutility and Borrowing Constraints (with Yong Hyun Shin), Quantitative Finance, 2011, Volume 11, pp.1581-1592

13. Comparison of Optimal Portfolios With and Without Subsistence Consumption Constraints (with Yong Hyun Shin), Nonlinear Analysis, 2011, Volume 74, pp.50-58

14. Optimal investment, consumption, and retirement choice problem with disutility and subsistence consumption constraints (with Yong Hyun Shin and U Jin Choi), Journal of Mathematical Analysis and Applications, 2008 Volume 345, pp.109-122.

15. Optimal Consumption and Portfolio Selection Problem with Downside Consumption Constraints (with Yong Hyun Shin and U Jin Choi) Applied Mathematics and Computation, 2007 Volume 188, pp.1801 - 1811.

Domestic Journal Articles

1. 딥러닝 기반 수익률 곡선 예측 연구: Dynamic Nelson-Siegel 모형과의 비교를 바탕으로 (with 이준영), 금융공학연구, 제25권, 제2호, 2026, pp.1~35.

2. 대한민국 온체인 금융 전략 (with 이효섭, 최경진), 금융연구, 제40권, 제1호, 2026. pp.183-232.

3. 합성 패널 데이터를 활용한 소비 기반 중소기업 신용위험 예측 (with 임창민), 재무관리연구, 제43권, 제1호, 2026. pp.17~54.

4. 디지털자산의 투자자산적 역할에 대한 고찰 (기고문), 자산운용연구, 제13권, 제2호, 2025. pp. 43-61.

5. BERT를 활용한 멀티모달 기반 기업 부도 예측에 관한 연구 (with 윤태선), 금융공학연구, 제24권, 제4호, 2025, pp.1-24.

6. 가상자산 현물 ETF에 대한 제도적 이해와 국내 정책 시사점 (with 최경진), 글로벌금융리뷰, 제6권, 제1호, 2025, pp.51-91

7. 딥러닝 모델을 활용한 국내 채권 신용스프레드 예측 연구 (with 윤태선, 손동희), 경영과학, 제42권, 3호, 2025, pp. 27-43

8. CT-GAN을 활용한 중소기업 채무불이행 예측 연구 (with 임창민), 금융정보연구, 제14권, 1호, 2025, pp. 1-32

9. 가상자산 현물 상장지수집합투자기구(ETF) 도입을 위한 법적 쟁점과 과제 - 비트코인 현물 ETF를 중심으로 (with 신년기), 증권법연구, 제25권, 제2호, 2024, pp. 159-196

10. 디지털자산과 금융환경 변화의 이해, 글로벌금융리뷰, 제4권, 제2호, 2023, pp.59-102

11. 금융시장 안정을 위한 디지털자산 및 관련 법제 연구 (with 고영미), 아주법학, 제16권 3호, 2022, pp.83-116

12. 엔터테인먼트 산업에서의 대체불가토큰(NFT) 활용과 법적 고려사항 (with 고영미), 고려법학, 제106호, 2022, pp.315-360

13. 대체불가토큰(NFT)의 이해와 법적 쟁점, 글로벌금융리뷰, 제3권, 제1호, 2022, pp.155-187

14. 블록체인과 지속가능금융, 글로벌금융리뷰, 제2권 제2호, 2021, pp.51-86

15. 디파이(DeFi)의 이해와 시사점, 글로벌금융리뷰, 제2권 제1호, 2021, pp.73-110

16. 일본 암호자산 법제화와 그 시사점에 관한 연구, 금융감독연구, 제7권 제2호, 2020 pp.83-140

17. 중앙은행 디지털화폐(CBDC) 도입 현황 및 시사점, 글로벌금융리뷰, 제1권 제1호, 2020, pp.151-187

18. Debtor’s Bankruptcy and Upper Bound on Consumption (with H.S. Lee), East Asian Mathematical Journal, Vol 36 No 1, 2020, pp.91-99

19. Consumption-Leisure Choice with Stochastic Income Flow (with H.S. Lee), Journal of Chungcheong Mathematical Society, Vol 33 Issue 1, Feb 2020, pp.103-112

20. Blockchain and Finance (with T.H. Ha), The Magazine of the IEEE, Vol 46, No 5, 2019, pp.61-68

21. Optimal Bankruptcy with a Continuous Debt Repayment, Management Science and Financial Engineering, Vol 22, No 1, May 2016, pp.13-20

22. Testing Multi-Factor Models of the Term Structure of Chinese Gold Futures Market (with N. Zhao and T.H. Ha), 금융지식연구, Vol 13, 2015, pp.105-135

23. 다요인 CIR 모형을 통한 국내 이자율 기간구조 추정 (with 하태형), 금융공학연구, Vol 14, No 1, 2015, pp.34-64

24. 최소 자산제약 및 인플레이션을 고려한 자산 할당에 관한 연구, 경영과학지, Vol 30, No 1, March 2013, pp.167-181

25. Portfolio choice under inflation risk: Martingale approach, Journal of Chungcheong Mathematical Society, Volume 26, No. 2, May 2013, pp.343-349

26. A risk-averse insider and asset pricing in continuous time, Management Science and Financial Engineering, Vol 19, No 1, May 2013, pp.11-16

27. The effect of inflation risk and subsistence constraints on portfolio choice, Journal of Korean Society for Industrial and Applied Mathematics, Vol.17, No.2, 2013, pp.115–128