4 papers
A Unified Approach to Retirement and Consumption-Portfolio Choice
Junkee Jeon, Hyeng Keun Koo
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 litera…
A problem of optimal switching and singular control with discretionary stopping in portfolio selection
Junkee Jeon, Hyeng Keun Koo
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 const…
Optimal Insurance with Limited Commitment in a Finite Horizon
Junkee Jeon, Hyeng Keun Koo, Kyunghyun Park
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 c…
Duesenberry's Theory of Consumption: Habit, Learning, and Ratcheting
Kyoung Jin Choi, Junkee Jeon, Hyeng Keun Koo
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 Due…