5 papers
Consumption adjustment with mean-reverting risk premia: A singular stochastic control approach
Gugyum Ha, Junkee Jeon, Jehan Oh
We study a two-sided singular stochastic control problem in which changes in consumption carry utility costs and the risk premium follows the mean-reverting Kim-Omberg model. Optim…
Consumption and Investment When Welfare Floors Change over Time
Gugyum Ha, Junkee Jeon, Takwon Kim
We study consumption and investment over a finite horizon when continuation utility must stay above a welfare floor that changes over time, and the floor at the horizon acts as a t…
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…
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…
The Obstacle Problem Arising from the American Chooser Option
Gugyum Ha, Junkee Jeon, Jihoon Ok
We study the finite-horizon obstacle problem associated with the American chooser option. Its obstacle is the maximum of two independently determined American call and put values a…