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최진혁
Choi, Jin Hyuk

최진혁

Department of Mathematical Sciences(수리과학과)

  • Mathematical Finance Lab.
  • Website
Research Interests
Financial Mathematics;Stochastic Control;금융수학;확률론적 최적화;확률론
Lab Description
My research interests include mathematical finance, stochastic control, and applied probability theory. I am particularly interested in the utility maximization problems originating from economics, and the characterization of the market equilibrium among the financial agents who optimize their strategies.
Researcher ID Research Gate ORCiD Scopus Google Scholar
Previous
A Multi-agent Targeted Trading Equilibrium with Transaction Costs File

Choi, Jin Hyuk , Duraj, Jetlir , Weston, Kim

Article Issue Date2024-03 View17
Delegation of Information Acquisition, Information Asymmetry, and Outside Option File

Choi, Jin Hyuk , Han, Kookyoung

Article Issue Date2023-09 View17
Optimal Investment in an Illiquid Market with Search Frictions and Transaction Costs File

Gang, Tae Ung , Choi, Jin Hyuk

Article Issue Date2023-08 View14
TRADING CONSTRAINTS IN CONTINUOUS-TIME KYLE MODELS File

Choi, Jin Hyuk , Kwon, Heeyoung , Larsen, Kasper

Article Issue Date2023-06 View15
Price impact in Nash equilibria File

Chen, Xiao , Choi, Jin Hyuk , Larsen, Kasper , Seppi, Duane J.

Article Issue Date2023-04 View23
Security defense against long-term and stealthy cyberattacks File

Han, Kookyoung , Choi, Jin Hyuk , Choi, Yunsik , Lee, Gene Moo , Whinston, Andrew B.

Article Issue Date2023-03 View16
Endogenous Noise Trackers in a Radner Equilibrium File

Choi, Jin Hyuk , Weston, Kim

Article Issue Date2022-10 View12
A reputation game on cyber-security and cyber-risk calibration File

Choi, Jin Hyuk , Han, Kookyoung

Article Issue Date2022-04 View19
Equilibrium Effects of Intraday Order-Splitting Benchmarks File

Choi, Jin Hyuk , Larsen, Kasper , Seppi, Duane

Article Issue Date2021-03 View10
Optimal contract for outsourcing information acquisition File

Choi, Jin Hyuk , Han, Kookyoung

Article Issue Date2020-10 View13
Optimal consumption and investment with liquid and illiquid assets File

Choi, Jin Hyuk

Article Issue Date2020-04 View10
Information and trading targets in a dynamic market equilibrium File

Choi, Jin Hyuk , Larsen, Kasper , Seppi, Duane J.

Article Issue Date2019-06 View14
Taylor approximation of incomplete Radner equilibrium models File

Choi, Jin Hyuk , Larsen, Kasper

Article Issue Date2015-07 View15
Asymptotic analysis for Merton's problem with transaction costs in power utility case File

Choi, Jin Hyuk

Article Issue Date2014-09 View13
SHADOW PRICES AND WELL-POSEDNESS IN THE PROBLEM OF OPTIMAL INVESTMENT AND CONSUMPTION WITH TRANSACTION COSTS File

Choi, Jin Hyuk , Sirbu, Mihai , Zitkovic, Gordan

Article Issue Date2013 View12
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