All Outputs (3)

Annuitization and asset allocation with borrowing constraint (2020)
Journal Article
Kim, J. G., Jang, B.-G., & Park, S. (2020). Annuitization and asset allocation with borrowing constraint. Operations Research Letters, 48(5), 549-551. https://doi.org/10.1016/j.orl.2020.06.007

We generalize the result of Yaari (1965) on annuitization with borrowing constraint. We show that inability to borrow against future labor income has a significant influence on an individual's consumption and asset allocation strategies. We also show... Read More about Annuitization and asset allocation with borrowing constraint.

Optimal Retirement with Borrowing Constraints and Forced Unemployment Risk (2020)
Journal Article
Jang, B.-G., Park, S., & Zhao, H. (2020). Optimal Retirement with Borrowing Constraints and Forced Unemployment Risk. Insurance: Mathematics and Economics, 94, 25-39. https://doi.org/10.1016/j.insmatheco.2020.06.002

In this paper, we study optimal retirement in a two-dimensional incomplete market caused by borrowing constraints and forced unemployment risk. We show that the two aspects jointly affect an individual’s optimal consumption, investment, and retiremen... Read More about Optimal Retirement with Borrowing Constraints and Forced Unemployment Risk.

Industry portfolio allocation with asymmetric correlations (2020)
Journal Article
Kim, M. H., Park, S., & Yoon, J. M. (2021). Industry portfolio allocation with asymmetric correlations. European Journal of Finance, 27(1-2), 178-198. https://doi.org/10.1080/1351847x.2020.1740287

We develop a new framework of optimal consumption and portfolio choice at industry portfolio level under dynamic and asymmetric correlations between industry and market portfolios. We derive in closed-form the optimal consumption and investment strat... Read More about Industry portfolio allocation with asymmetric correlations.