1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.PM2010★ 1 cited
Illiquidity Effects in Optimal Consumption-Investment Problems
Michael Ludkovski, Hyekyung Min
We study the effect of liquidity freezes on an economic agent optimizing her utility of consumption in a perturbed Black-Scholes-Merton model. The single risky asset follows a geom…
math.AP2006
On a model for the efficient operation of a bank or insurance company
Joseph G. Conlon, Hyekyung Min
In this paper the authors study a model for the optimal operation of a bank or insurance company which was recently introduced by Peura and Keppo. The model generalizes a previous…