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pro vyhledávání: '"Koo, Hyeng Keun"'
Autor:
Jang, Bong-Gyu, Koo, Hyeng Keun
Publikováno v:
Journal of Derivatives and Quantitative Studies: 선물연구, 2024, Vol. 32, Issue 2, pp. 86-115.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/JDQS-12-2023-0043
Fund models are statistical descriptions of markets where all asset returns are spanned by the returns of a lower-dimensional collection of funds, modulo orthogonal noise. Equivalently, they may be characterised as models where the global growth-opti
Externí odkaz:
http://arxiv.org/abs/2208.02573
Autor:
Jeon, Junkee, Koo, Hyeng Keun
In this study we propose a unified model of optimal retirement, consumption and portfolio choice of an individual agent, which encompasses a large class of the models in the literature and provide a general methodology to solve the model. Different f
Externí odkaz:
http://arxiv.org/abs/2111.00369
Autor:
Jeon, Junkee, Koo, Hyeng Keun
In this paper we study the optimization problem of an economic agent who chooses a job and the time of retirement as well as consumption and portfolio of assets. The agent is constrained in the ability to borrow against future income. We transform th
Externí odkaz:
http://arxiv.org/abs/2107.11735
We study a finite horizon optimal contracting problem of a risk-neutral principal and a risk-averse agent who receives a stochastic income stream when the agent is unable to make commitments. The problem involves an infinite number of constraints at
Externí odkaz:
http://arxiv.org/abs/1812.11669
This paper investigates the consumption and risk taking decision of an economic agent with partial irreversibility of consumption decision by formalizing the theory proposed by Duesenberry (1949). The optimal policies exhibit a type of the (s, S) pol
Externí odkaz:
http://arxiv.org/abs/1812.10038
Publikováno v:
In Journal of Economic Theory March 2022 200
Akademický článek
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Publikováno v:
In Mathematical Social Sciences May 2021 111:55-67
Publikováno v:
In Economic Modelling September 2020 91:274-299