Research Interests
Research Interests
Portfolio selection
Free boundary problems
Regularity theory for degeneate equations
Statistical testing
Portfolio selection
Free boundary problems
Regularity theory for degeneate equations
Statistical testing
08. Finite-Horizon Ratcheting with Perpetual Commitment: Optimal Consumption, Investment, and Lock-In Effects (2026), 31pp
(with Junkee Jeon)
07. Optimal Annuitization and Asset Allocation under Cobb–Douglas Preferences and a Credit-Line Constraint: A Dual Free-Boundary Characterization (2026), ssrn.6404959, 31pp
(with Junkee Jeon)
06. Liouville-type theorems for Lane--Emden inequalities involving nonlocal operators (2026), arXiv:2602.13822, 10pp
(with Taehun Lee)
05. When do loss-averse households retire? Intertemporal loss aversion and sticky consumption (2026), ssrn.6199978, 14pp
(with Junkee Jeon)
04. Optimal early retirement with target wealth and borrowing constraints (2025), 10.2139/ssrn.5956194, 34pp
(with Jongbong An and Junkee Jeon)
03. Dynamic asset allocation with partially reversible retirement decisions (2025), 10.2139/ssrn.5362992, 31pp
(with Jongbong An and Junkee Jeon)
02. Optimal portfolio selection and early retirement with target wealth Constraints (2025), 10.2139/ssrn.5143989, 20pp
(with Jongbong An and Junkee Jeon)
01. Existence of solutions and Lipschitz continuity of free boundary for the obstacle problem of the porous medium equations (2024), 19pp
(with Sunghoon Kim and Jinwan Park)
15. Geopolitical Risk, Portfolio Choice, and Retirement Delay (2026), ssrn.6822118
(with Junkee Jeon)
To appear in Finance Research Letters
14. Finite-horizon optimal retirement decisions under subsistence consumption constraints (2026)
(with Jongbong An and Junkee Jeon)
Mathematical Control and Related Fields
13. Downward rigidity, precautionary delay, and portfolio choice (2026)
(with Junkee Jeon)
Economic Modelling 162, 107686
(with Junkee Jeon and Zhou Yang)
Mathematics of Operations Research
11. The finite-horizon reversible investment problem with the constant elasticity of variance model (2026)
(with Junkee Jeon)
SIAM Journal on Control and Optimization 64(2), 843-868
10. Working longer, not harder: target wealth, leisure, and retirement (2026)
(with Jongbong An and Junkee Jeon)
Finance Research Letters 96, 109756
09. Optimal contract design with labor-leisure choice under limited commitment: a free boundary approach (2026)
(with Jongbong An and Junkee Jeon)
Mathematics and Computers in Simulation 239, 967-985
08. Optimal portfolio and labor-leisure decisions with intolerance for declining standard of living (2025)
(with Jongbong An and Junkee Jeon)
Quantitative Finance 25(8), 1293-1313
07. Weighted conditional network testing for multiple high-dimensional correlated data sets (2026+)
(with Inyoung Kim and Ki-Ahm Lee)
to appear at Statistica Sinica
06. Optimal portfolio and retirement decisions with costly job switching options (2025)
(with Jongbong An and Junkee Jeon)
Applied Mathematics and Computation 491, 129215
05. Generalized Schauder theory and its application to degenerate/singular parabolic equations (2024)
(with Ki-Ahm Lee and Hyungsung Yun)
Mathematische Annalen 390, 6049–6109
04. Pricing vulnerable options in fractional Brownian markets: a partial differential equations approach (2024)
(with Ki-Ahm Lee, Jinwan Park, and Ji-Hun Yoon)
Fractional Calculus and Applied Analysis 27(1), 247-280.
03. A double obstacle problem in an optimal investment problem (2023)
(with Ki-Ahm Lee and Jinwan Park)
Nonlinear Analysis 232, Paper No. 113282.
02. Higher regularity up to boundary for degenerate parabolic equations (2023)
(with Ki-Ahm Lee and Hyungsung Yun)
Journal of Differential Equations 348, 223-277.
01. New approach and analysis of the generalized constant elasticity of variance model (2023)
(with Inyoung Kim, Ki-Ahm Lee, and Ji-Hun Yoon)
Applied Stochastic Models in Business and Industry 39(1), 114-155.