4 papers in the archive (2023–2026), average empirical rigor 2.8/10, average math complexity 6.5/10. Quadrant mix: Lab Rats ×3, Philosophers ×1.
Works mostly in Stochastic Control & Optimal Stopping, Statistical Arbitrage & Pairs Trading, Factor Investing & Asset Pricing.
Frequent co-authors: Gugyum Ha (1), Jehan Oh (1), Zhou Yang (1), Takwon Kim (1), Jinwan Park (1), A. Max Reppen (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
We study a finite-horizon reversible investment problem in which a risk-neutral firm adjusts capacity at a proportional purchase cost and a lower salvage value under multi-factor geometric Brownian motion. Via the singular control–optimal switching correspondence, the marginal value of capacity sol
Households compare their living standard with others’ and dislike changing it. We study consumption and investment when felicity depends on consumption relative to a benchmark, the population’s geometric average consumption, and cuts in felicity weigh more than increases. Asset returns are exogenous
In this paper, we undertake an investigation into the utility maximization problem faced by an economic agent who possesses the option to switch jobs, within a scenario featuring the presence of a mandatory retirement date. The agent needs to consider not only optimal consumption and investment but
We study a two-sided singular stochastic control problem in which changes in consumption carry utility costs and the risk premium follows the mean-reverting Kim-Omberg model. Optimal consumption is reflected between two moving barriers given by thresholds that depend on the current risk premium. The