Research Interests
Stocahstic analysis/optimization and its application to mathematical finance
Main Research Topics
Stochastic Portfolio Theory
Stochastic Volterra Integral Equation
Free Boundary Problems in Mathematical Finance
Working Papers
Dynamic Asset Allocation with Partially Reversible Retirement Decisions (2025) (with Junkee Jeon and Takwon Kim)
Can AI Advice Delay Retirement? Portfolio Portability and the Value of Continued Work (2026) (with Junkee Jeon)
Asset Allocation with Costly Fixed-Width Consumption Band Adjustment (2026) (with Kexin Chen and Junkee Jeon)Â
Consumption, Leisure, and Investment with Costly Adjustment of Living Standards (2026) (with Junkee Jeon)
Retirement Aspirations, Disappointment Aversion, and Portfolio Choice (2026) (with Junkee Jeon and Takwon Kim)
Publications
On equisingular approximation of plurisubharmonic functions (2023) (with Hoseob Seo)
Journal of Mathematical Anlaysis and Applications 521, no. 2, 126987
Optimal portfolio and retirement decisions with costly job switching options (2025) (with Junkee Jeon and Takwon Kim)
Applied Mathematics and Computation 491, 129215
Optimal portfolio and labor-leisure decisions with intolerance for declining standard living (2025) (with Junkee Jeon and Takwon Kim)
Quantitative Finance, 25, no. 8, 1293-1313
Optimal Contract Design with Labor-Leisure Choice under Limited Commitment: A Free Boundary Approach (2026) (with Junkee Jeon and Takwon Kim)
Mathematics and Computers in Simulation, 239, 967-985
Working Longer, Not Harder: Target Wealth, Leisure, and Retirement (2026) (with Junkee Jeon and Takwon Kim)
Finance Research Letters, 96, 1-13
Optimal Portfolio Selection and Early Retirement with Target Wealth Constraints (2026) (with Junkee Jeon and Takwon Kim)
Mathematics and Financial Economics, to appear
Finite-Horizon Optimal Consumption, Investment, and Retirement Decisions with a Subsistence Consumption Constraint (2026) (with Junkee Jeon and Takwon Kim)
Mathematical Control and Related Fields