3 papers
math.OC2026
Finite-Horizon Portfolio Choice, Labor Supply, and Early Retirement under Borrowing Constraints
Gugyum Ha, Junkee Jeon, Jihoon Ok
We study a finite-horizon optimal consumption and portfolio problem with labor supply flexibility and an irreversible early retirement option under a borrowing constraint. The agen…
math.AP2026
The Obstacle Problem Arising from the American Chooser Option
Gugyum Ha, Junkee Jeon, Jihoon Ok
We study the obstacle problem associated with the American chooser option. The obstacle is given by the maximum of an American call option and an American put option, which, in tur…
math.OC2026
Finite-Horizon Optimal Consumption and Investment with Time-Varying Job-Switching Costs
Gugyum Ha, Junkee Jeon, Jihoon Ok
In this paper, we study the finite-horizon problem of an economic agent's optimal consumption, investment, and job-switching decisions. The key new feature of our model is that the…