I am a postdoctoral researcher at the Research Center for Natural Sciences (RCNS) of the Korea Advanced Institute of Science and Technology (KAIST).
My research lies in the fields of financial mathematics and stochastic analysis, with a particular focus on optimal portfolio choice. This involves applying probability theory to model financial markets and derive the associated Hamilton–Jacobi–Bellman (HJB) equations.
I am especially interested in the role of two types of market frictions: transaction costs and search frictions, which are both fundamental to real-world trading but analytically challenging. My work examines how these two types of frictions jointly influence trading strategies and the value function.
Recently, I have also been studying the voluntary retirement problem under income considerations using HARA utility, focusing on how income and utility preferences affect optimal retirement timing.
Location: Industrial Engineering & Management building (E2)-3218
E-mail: gangtaeung@kaist.ac.kr