Kyunghyun Park

The Chinese University of Hong Kong (CUHK), Department of Statistics

Post Doc.

Shatin, N.T.

Hong Kong

SCHOLARLY PAPERS

9

DOWNLOADS

375

SSRN CITATIONS

8

CROSSREF CITATIONS

0

Scholarly Papers (9)

1.

Robust Consumption-Investment With Return Ambiguity: A Dual Approach With Volatility Ambiguity

forthcoming in SIAM Journal on Financial Mathematics
Number of pages: 42 Posted: 07 Oct 2021 Last Revised: 06 Jun 2022
Kyunghyun Park and Hoi Ying Wong
The Chinese University of Hong Kong (CUHK), Department of Statistics and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 94 (373,194)

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return ambiguity in primal, volatility ambiguity in dual, consumption-investment problem, dual approach, $G$-expectation, sparse portfolio, least exposure to ambiguity

2.

Portfolio Selection with Drawdown Constraint on Consumption: A Generalization Model

Number of pages: 42 Posted: 06 Dec 2019 Last Revised: 04 Sep 2020
Junkee Jeon and Kyunghyun Park
Kyung Hee University - Department of Applied Mathematics and The Chinese University of Hong Kong (CUHK), Department of Statistics
Downloads 49 (523,791)

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Drawdown constraint, Habit formation, Portfolio selection, Singular control problem, von Neumann--Morgenstern utility, Free boundary problem, Two-dimensional problem

3.

Horizon Effect on Optimal Retirement Decision

Number of pages: 47 Posted: 07 Sep 2021
Junkee Jeon, Minsuk Kwak and Kyunghyun Park
Kyung Hee University - Department of Applied Mathematics, Department of Mathematics, Hankuk University of Foreign Studies and The Chinese University of Hong Kong (CUHK), Department of Statistics
Downloads 43 (551,727)

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early retirement, mandatory retirement, optimal stopping in finite horizon, consumption and investment, life insurance, parabolic free-boundary problem, non-linear integral equation

4.

Robust retirement with return ambiguity: Optimal G-stopping time in dual space

Number of pages: 29 Posted: 11 Feb 2022
Kyunghyun Park and Hoi Ying Wong
The Chinese University of Hong Kong (CUHK), Department of Statistics and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 42 (556,723)

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return ambiguity in primal, risk ambiguity in dual, retirement, G-stopping time, consumption-investment, robust strategy

5.

Optimal Retirement and Portfolio Selection with Consumption Ratcheting

Number of pages: 47 Posted: 29 Oct 2019 Last Revised: 02 Jan 2020
Junkee Jeon and Kyunghyun Park
Kyung Hee University - Department of Applied Mathematics and The Chinese University of Hong Kong (CUHK), Department of Statistics
Downloads 42 (556,723)
Citation 7

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Portfolio selection, Consumption ratcheting, Early retirement option, Singular control problem, Optimal stopping problem

6.

Robust Retirement and Life Insurance with Inflation Risk and Model Ambiguity

Number of pages: 37 Posted: 01 Apr 2022
Kyunghyun Park, Hoi Ying Wong and Tingjin Yan
The Chinese University of Hong Kong (CUHK), Department of Statistics, The Chinese University of Hong Kong (CUHK) - Department of Statistics and Academy of Statistics and Interdisciplinary Sciences, Faculty of Economics and Management, East China Normal University
Downloads 40 (566,903)

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Inflation and stock ambiguity, Retirement, Consumption-investment, Life insurance, Model ambiguity

7.

Optimal Finite Horizon Contract with Limited Commitment

forthcoming in Mathematics and Financial Economics
Number of pages: 47 Posted: 22 Jun 2020 Last Revised: 09 Sep 2021
Junkee Jeon, Hyeng Keun Koo and Kyunghyun Park
Kyung Hee University - Department of Applied Mathematics, Ajou University - Department of Business Administration and The Chinese University of Hong Kong (CUHK), Department of Statistics
Downloads 35 (593,684)
Citation 1

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Optimal contract, Limited commitment, Principal-Agent problem, Optimal stopping problem, Singular control problem

8.

Finite Horizon Portfolio Selection with Durable Goods

Number of pages: 28 Posted: 03 Dec 2020 Last Revised: 31 Mar 2021
Junkee Jeon, Hyeng Keun Koo and Kyunghyun Park
Kyung Hee University - Department of Applied Mathematics, Ajou University - Department of Business Administration and The Chinese University of Hong Kong (CUHK), Department of Statistics
Downloads 15 (733,941)

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Durable goods, Portfolio selection, Risk Aversion, Variational inequality, Integral equation, Optimal stopping problem

9.

Social Insurance for the Elderly

Number of pages: 45 Posted: 07 Mar 2020
Se Yung Bae, Junkee Jeon, Hyeng Keun Koo and Kyunghyun Park
Ajou University - Department of Financial Engineering, Kyung Hee University - Department of Applied Mathematics, Ajou University - Department of Business Administration and The Chinese University of Hong Kong (CUHK), Department of Statistics
Downloads 15 (733,941)

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Social Insurance, Consumption, Portfolio Selection, Retirement, Optimal stopping problem, Duality