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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

Optimal retirement with unemployment risks

Jang, Bong-gyu; Park, Seyoung; Rhee, Yuna - In: Journal of banking & finance 37 (2013) 9, pp. 3585-3604

Persistent link: https://www.econbiz.de/10010126316

Unemployment risks and optimal retirement in an incomplete market

Bensoussan, Alain; Jang, Bong-Gyu; Park, Seyoung - In: Operations research 64 (2016) 4, pp. 1015-1032

Persistent link: https://www.econbiz.de/10011538586

Optimal retirement with borrowing constraints and forced unemployment risk

Jang, Bong-Gyu; Park, Seyoung; Zhao, Huainan - In: Insurance / Mathematics & economics 94 (2020), pp. 25-39

Persistent link: https://www.econbiz.de/10012419097

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

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

Liquidity constraints and optimal annuitization

Park, Seyoung - In: Journal of derivatives and quantitative studies 30 (2022) 2, pp. 125-142

Persistent link: https://www.econbiz.de/10013202395

A generalization of Ramsey rule on discount rate with regime switching

Park, Seyoung - In: Economics letters 170 (2018), pp. 147-150

Persistent link: https://www.econbiz.de/10012019573