Similar Search Results

The effect of regime-switching transaction costs and cash dividends on liquidity premia

Chae, Jiwon; Jang, Bong-Gyu; Kim, Taeyoon - In: International review of financial analysis 93 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10014543498

Robust consumption and portfolio rules with time-varying model confidence

Jang, Bong-Gyu; Lee, Seungkyu; Lim, Byung Hwa - In: Finance research letters 18 (2016), pp. 342-352

Persistent link: https://www.econbiz.de/10011657300

Optimal retirement strategy with a negative wealth constraint

Park, Seyoung; Jang, Bong-gyu - In: Operations research letters 42 (2014) 3, pp. 208-212

Persistent link: https://www.econbiz.de/10010383190

Annuitization and asset allocation with borrowing constraint

Kim, Jin Gi; Jang, Bong-Gyu; Park, Seyoung - In: Operations research letters 48 (2020) 5, pp. 549-551

Persistent link: https://www.econbiz.de/10012303406

Optimal consumption and investment with insurer default risk

Jang, Bong-Gyu; Koo, Hyeng-keun; Park, Seyoung - In: Insurance / Mathematics & economics 88 (2019), pp. 44-56

Persistent link: https://www.econbiz.de/10012105360

Ambiguity and optimal portfolio choice with Value-at-Risk constraint

Jang, Bong-Gyu; Park, Seyoung - In: Finance research letters 18 (2016), pp. 158-176

Persistent link: https://www.econbiz.de/10011656986

Analytic approach for models of optimal retirement with disability risk

Chae, Jiwon; Jang, Bong-Gyu; Park, Seyoung - In: Mathematical social sciences 126 (2023), pp. 68-75

Persistent link: https://www.econbiz.de/10014472541

Liquidity Premia, Transaction Costs, and Model Misspecification

Jang, Bong-Gyu - 2015

We find robust portfolio rules for ambiguity-averse fund managers in a financial market with proportional transaction costs. The model proposed in this paper permits a liquidity premium much bigger than those found by most empirical literature. Our liquidity premium is much bigger when using...

Persistent link: https://www.econbiz.de/10013034030

Verification theorems for models of optimal consumption and investment with annuitization

Park, Seyoung - In: Mathematical social sciences 103 (2020), pp. 36-44

Persistent link: https://www.econbiz.de/10012253672

A generalization of Yaari's result on annuitization with optimal retirement

Park, Seyoung - In: Economics letters 137 (2015), pp. 17-20

Persistent link: https://www.econbiz.de/10011436187