Hyeng Keun Koo

Ajou University

Professor of Finance

206 Worldcup-ro

Yeongtong-gu

Suwon, 443-749

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

7

DOWNLOADS

450

SSRN CITATIONS

3

CROSSREF CITATIONS

4

Scholarly Papers (7)

Optimal Multi-Agent Performance Measures for Team Contracts

Mathematical Finance, Vol. 18, Issue 4, pp. 649-667, October 2008
Number of pages: 19 Posted: 19 Sep 2008
Hyeng Keun Koo, Gyoocheol Shim and Jaeyoung Sung
Ajou University, College of Business, Korea Advanced Institute of Science and Technology (KAIST) and Ajou University
Downloads 4 (694,262)
Citation 1
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2.

A Simple Asset Pricing Model with Heterogeneous Agents, Uninsurable Labor Income and Limited Stock Market Participation

Journal of Banking and Finance, Vol. 55, 2015
Number of pages: 25 Posted: 11 Jan 2014 Last Revised: 22 Sep 2016
Seryoong Ahn, Kyoung Jin Choi and Hyeng Keun Koo
Korea Housing Finance Corporation, University of Calgary - Haskayne School of Business and Ajou University
Downloads 144 (216,876)
Citation 2

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asset pricing, general equilibrium, equity premium, uninsurable labor income, limited stock market participation, heterogeneous preference

3.

Optimal Hedging of a Contingent Claim with Ambiguity Aversion

Number of pages: 50 Posted: 28 Jul 2012
Chongseok Hyun and Hyeng Keun Koo
Ajou University and Ajou University
Downloads 135 (228,279)

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Ambiguity, Hedging, Incomplete Market, Minimax Expected Utility, Rectangularity

4.

A Non-Standard Construction of Multi-Dimensional Brownian Motions and Option Pricing

Number of pages: 14 Posted: 05 Nov 2010
Hyeng Keun Koo and Ji Hee Yoon
Ajou University and University College London - Department of Economics
Downloads 85 (314,818)

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nonstandard analysis, multi-dimensional Brownian motion, option pricing, exchange option

5.

A Friedman-Savage Consumer Almost Gambles: A Continuous Time Model of Consumption and Investment with Non-Concave Utility

Number of pages: 37 Posted: 14 Apr 2012
Byung Koo, Jung Koo and Hyeng Keun Koo
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE), Xiamen University - The Wang Yanan Institute for Studies in Economics (WISE) and Ajou University
Downloads 82 (321,796)
Citation 1

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6.

Asset Demands and Consumption with Longevity Risk

Economic Theory, Forthcoming
Posted: 11 Nov 2010 Last Revised: 24 Aug 2017
Bong-Gyu Jang, Hyeng Keun Koo and Yuna Rhee
Pohang University of Science and Technology (POSTECH), Ajou University and Pohang University of Science and Technology (POSTECH)

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longevity risk, asset demand, consumption, life insurance, annuity

7.

Optimal Consumption and Investment with Insurer Default Risk

Insurance: Mathematics and Economics, Forthcoming
Posted: 14 Jul 2008 Last Revised: 12 May 2019
Bong-Gyu Jang, Hyeng Keun Koo and Seyoung Park
Pohang University of Science and Technology (POSTECH), Ajou University and Nottingham University Business School

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optimal consumption, optimal investment, insurer default risk, annuity demand