3 papers
q-fin.PM2025
Income Disaster, Role of Income Support, and Optimal Retirement
Tae Ung Gang, Seyoung Park, Yong Hyun Shin
This paper investigates the interactions among consumption/savings, investment, and retirement choices with income disaster. We consider low-income people who are exposed to income…
math.OC2024
Impact Of Income And Leisure On Optimal Portfolio, Consumption, Retirement Decisions Under Exponential Utility
Tae Ung Gang, Yong Hyun Shin
We study an optimal control problem encompassing investment, consumption, and retirement decisions under exponential (CARA-type) utility. The financial market comprises a bond with…
q-fin.MF2024
Unified Asymptotics For Investment Under Illiquidity: Transaction Costs And Search Frictions
Tae Ung Gang, Jin Hyuk Choi
This paper investigates the optimal investment problem in a market with two types of illiquidity: transaction costs and search frictions. Extending the framework established by arX…