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구형건Hyeng Keun Koo

  • 소속 금융공학과 / 명예교수
  • 연구실다525
  • 이메일 hkoo@ajou.ac.kr
  • 내선번호2706

관심분야

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학력

  • 1992.10 Princeton Univ 박사

경력

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대표논문

  • [논문] 신용현, 전준기, 구형건, Portfolio selection with consumption ratcheting, JOURNAL OF ECONOMIC DYNAMICS AND CONTROL, pp. 153-182 (6월, 2018)
  • [논문] Zhou Yang, 구형건, Optimal Consumption and Portfolio Selection with Early Retirement Option, MATHEMATICS OF OPERATIONS RESEARCH, pp. 1-26 (6월, 2018)
  • [논문] 구형건, 안세륭, 최경진, A simple asset pricing model with heterogeneous agents, uninsurable labor income and limited stock market participation, JOURNAL OF BANKING & FINANCE, Vol.55, pp. 9-22 (3월, 2015)
  • [논문] 구형건, Abel Cadenillas, Alain Bensoussan, Entrepreneurial Decisions on Effort and Project with a Nonconcave Objective Function, MATHEMATICS OF OPERATIONS RESEARCH, pp. 1-13 (3월, 2015)
  • [논문] 구형건, Hong Liu, Mark Loewenstein, 장봉규, Liquidity Premia and Transaction Costs, Journal of Finance, Vol.62, No.5, pp. 2329-2366 (10월, 2007)

연구활동

  • [논문] 구형건, 유재인, 최경진, 임병화, Endogenous Credit, Business Cycle, and Portfolio Selection, OPERATIONS RESEARCH, pp. 1-14 (12월, 2023)
  • [논문] 전준기 , 구형건, A MODEL OF RETIREMENT ANDCONSUMPTION-PORTFOLIO CHOICE, Bulletin of the Korean Mathematical Society, Vol.60, No.4, pp. 1101-1129 (8월, 2023)
  • [논문] 안상진, 구형건, 안세륭, 정재웅, An analysis of the evolution of global financialnetwork of the coordinated portfolio investmentsurvey, INTERNATIONAL REVIEW OF FINANCE, pp. 1-23 (12월, 2022)
  • [논문] 구형건, 전준기, Kyunghyun Park, Optimal finite horizon contract with limited commitment, MATHEMATICS AND FINANCIAL ECONOMICS, pp. 267-315 (4월, 2022)
  • [논문] Kyoung Jin Choi, 전준기, 구형건, Intertemporal Preference with Loss Aversion: Consumption and Risk Attitude, JOURNAL OF ECONOMIC THEORY, pp. 105380-105380 (3월, 2022)
  • [논문] 구형건, 노금환, 신용현, Optimal consumption/investment and retirement with necessities and luxuries, MATHEMATICAL METHODS OF OPERATIONS RESEARCH, pp. 281-317 (10월, 2021)
  • [논문] 구형건, 전준기, 박경현, Finite horizon portfolio selection with durable goods, MATHEMATICAL SOCIAL SCIENCES, pp. 55-67 (3월, 2021)
  • [논문] Zhou Yang, 신용현, 전준기, 구형건, An Integral Equation Representation for Optimal Retirement Strategies in Portfolio Selection Problem, COMPUTATIONAL ECONOMICS, pp. 885-914 (1월, 2021)
  • [논문] 배세융, 구형건, 박경현, 전준기, Social insurance for the elderly, ECONOMIC MODELLING, Vol.91, pp. 274-299 (8월, 2020)
  • [논문] Zhou Yang, 신용현, 구형건, Optimal Retirement in a General Market Environment, APPLIED MATHEMATICS AND OPTIMIZATION, pp. 1-48 (3월, 2020)
  • [논문] 배세융, 전준기, 구형건, Continuous-Time Portfolio Selection: A Cursory Survey, frontiers in Applied Mathematics and Statistics, pp. 1-9 (2월, 2020)
  • [논문] 구형건, 장봉규, 박세영, Optimal consumption and investment with insurer default risk, INSURANCE: MATHEMATICS AND ECONOMICS, pp. 44-56 (4월, 2019)
  • [논문] 구형건, 전준기, 신용현, Ratcheting with a bliss level of consumption, OPTIMIZATION LETTERS, pp. 1-22 (8월, 2018)
  • [논문] 신용현, 전준기, 구형건, Portfolio selection with consumption ratcheting, JOURNAL OF ECONOMIC DYNAMICS AND CONTROL, pp. 153-182 (6월, 2018)
  • [논문] Zhou Yang, 구형건, Optimal Consumption and Portfolio Selection with Early Retirement Option, MATHEMATICS OF OPERATIONS RESEARCH, pp. 1-26 (6월, 2018)
  • [논문] 구정림, 구형건, 구병림, 안세륭, 신용현, Optimal consumption and portfolio selection with quadratic utility and a subsistence consumption constraint, STOCHASTIC ANALYSIS AND APPLICATIONS, Vol.34, No.1, pp. 165-177 (1월, 2016)
  • [논문] 구형건, Shanjian Tang, Zhou Yang, A Dynkin Game under Knightian Uncertainty, DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS, Vol.35, No.11, pp. 5467-5498 (11월, 2015)
  • [논문] 구형건, 이유나, 장봉규, Asset demands and consumption with longevity risk, ECONOMIC THEORY, pp. 1-48 (10월, 2015)
  • [논문] 심규철, 구형건, Optimal Consumption and Investment with a Wealth-Dependent Time-Varying Investment Opportunity, ANNALS OF ECONOMICS AND FINANCE, Vol.16, No.1, pp. 19-42 (5월, 2015)
  • [논문] 구형건, 안세륭, 최경진, A simple asset pricing model with heterogeneous agents, uninsurable labor income and limited stock market participation, JOURNAL OF BANKING & FINANCE, Vol.55, pp. 9-22 (3월, 2015)
  • [논문] 구형건, Abel Cadenillas, Alain Bensoussan, Entrepreneurial Decisions on Effort and Project with a Nonconcave Objective Function, MATHEMATICS OF OPERATIONS RESEARCH, pp. 1-13 (3월, 2015)
  • [논문] 김용식, 구형건, 배형옥, Option pricing and Greeks via a moving least square meshfree method, QUANTITATIVE FINANCE, pp. 1-12 (11월, 2013)
  • [논문] 현종석, 구병림, 구정림, 구형건, A generalization of Dybvig's result on portfolio selection with intolerance for decline in consumption, ECONOMICS LETTERS, No.117, pp. 646-649 (8월, 2012)
  • [논문] Shanjian Tang, 구형건, Wei Zhong, OPTIMAL SWITCHING OF ONE-DIMENSIONAL REFLECTED BSDES AND ASSOCIATED MULTIDIMENSIONAL BSDES WITH OBLIQUE REFLECTION, SIAM JOURNAL ON CONTROL AND OPTIMIZATION, Vol.49, No.6, pp. 2279-2317 (11월, 2011)
  • [논문] 심규철, 구형건, The Crisis and Financial Engineering, Risk and Decision Analysis, pp. 161-170 (8월, 2011)
  • [논문] 배형옥, 안세륭, 이기정, 구형건, A SURVEY ON AMERICAN OPTIONS: OLD APPROACHES AND NEW TRENDS, BULLETIN OF THE KOREAN MATHEMATICAL SOCIETY, pp. 791-812 (7월, 2011)
  • [논문] 구형건, 심규철, 성재영, Optimal Multi-Agent Performance Measures for Team Contracts, Mathematical Finance, Vol.18, No.4, pp. 649-667 (10월, 2008)
  • [논문] 구형건, 심규철, 성재영, Optimal Multi-agent performance Measures for Team Contracts, Mathematical Finance, Vol.18, No.4, pp. 649-667 (10월, 2008)
  • [논문] 구형건, Hong Liu, Mark Loewenstein, 장봉규, Liquidity Premia and Transaction Costs, Journal of Finance, Vol.62, No.5, pp. 2329-2366 (10월, 2007)
  • [논문] 장봉규, 구형건, 최우진, An algorithm for Optimal Portfolio Selection Problem with Transaction Costs and random lifetimes, Applied Mathematics and Computation, Vol.191, No.1, pp. 239-252 (7월, 2007)
  • [논문] 구형건, 최경진, A preference change and discretionary stopping in a consumption and portfolio selection problem, Mathematical Methods of Operations Research, Vol.61, No.3, pp. 419-435 (8월, 2005)
  • [논문] 구형건, 장봉규, 최우진, Transaction Costs and Asset Valuation, Review of Accounting and Finance, Vol.3, No.4, pp. 99-111 (5월, 2004)
  • [논문] 구형건, Thaleia Zariphopoulo, 심규철, 최성섭, A Wealth Dependent Investment Opportunity Set:Its Effect on Optimal Consumption and Portfolio Decisions, Annals of Economics and Finance, Vol.4, No.2, pp. 427-469 (11월, 2003)
  • [논문] 구형건, Youn-Suk Kim, Restructuring R&D: The Case of Korea, Human Systems Management, Vol.20, No.1, pp. 63-68 (3월, 2001)
  • [논문] 구형건, Youn-Suk Kim, The IMF Policy and Its Effects on Korean Chaebols, Review of Asian and Pacific Studies, Vol./, No.21, pp. 1-4 (1월, 2001)
  • [논문] 구형건, 김연석, Asia's contagious financial crisis and its impact on Korea, Journal of Asian Economics, Vol.1999, No.10, pp. 111-121 (10월, 1999)
  • [논문] 구형건, Consumption and Portfolio Selection with labor Income: A Discrete-time Approach, Mathematical Methods of Operations Research, Vol.50, No.2, pp. 219-243 (10월, 1999)
  • [논문] 안상진, 구형건, 안세륭, 정재웅, 부산의 금융중심지 성장 방안에 대한 역사적 고찰, 경영연구, Vol.37, No.4, pp. 127-141 (12월, 2022)
  • [논문] 정승원, 안상진, 안세륭, 구형건, Epstein-Zin 효용함수를 이용한 자산배분전략과 수렴성, 경영과학, Vol.39, No.3, pp. 1-14 (9월, 2022)
  • [논문] 정승원, 구형건, 안상진, 안세륭, OPTIMAL PORTFOLIO CHOICE IN A BINOMIAL-TREEAND ITS CONVERGENCE, East Asian Mathematical Journal, Vol.3, pp. 277-292 (5월, 2022)
  • [논문] 안상진, 전준기 , 구형건, 노동기회의 옵션 가치와 최적 은퇴 결정: 이항 모형을 이용한 접근법, 경영과학, pp. 39-48 (12월, 2021)
  • [논문] 김하영, 구형건, 임준범, 정계은, 유재인, Application of multifactor model to stock market index prediction using multi-task deep learning, 재무관리연구, Vol.35, No.4, pp. 143-165 (11월, 2018)
  • [논문] 구형건, 배세융, 심규철, 국면전환 환경에서의 퇴직계획 및 자산선택, 경영과학, pp. 79-95 (12월, 2017)
  • [논문] 구형건, 박정숙, 정재웅, 제도, 규범 그리고 반복되는 금융위기: 신제도주의 관점에서 본 금융위기의 기원, 경영사학, No.1, pp. 111-136 (3월, 2015)
  • [논문] 구본천, 구형건, 정재웅, 박정숙, 효용함수에 굴절이 있는 경우의 최적 포트폴리오 선택, 금융공학연구(金融工學硏究), Vol.13, No.4, pp. 1-19 (12월, 2014)
  • [논문] 구형건, 오주연, 현종석, 우리나라 이자율 차익거래 유인과 주식시장 변동성의 연관성에 관한 연구: 2007-2008년 세계 금융 위기를 전후하여, 금융공학연구(金融工學硏究), Vol.13, No.3, pp. 1-25 (9월, 2014)
  • [논문] 구형건, 안세륭, Optimal Consumption and Slutsky Equation with Epstein-Zin Type Preference, Journal of the Korean Society for Industrial and Applied Mathematics, Vol.16, No.2, pp. 107-124 (5월, 2012)
  • [논문] 윤병섭, 구형건, 이기환, 벤처캐피탈회사 유형별 조기업적과시효과 분석, 대한경영학회지, Vol.18, No.5, pp. 1993-2026 (10월, 2005)
  • [논문] 구형건, 김영권, 최성섭, 장부가치와 주당 이익을 이용한 선형회귀모형과 신경망모형의 주가예측, 재무관리연구, Vol.17, No.1, pp. 161-180 (6월, 2000)
  • [논문] 구형건, Youn-Suk Kim, The Korean Crisis-A Year After, Korea Observer, Vol.30, No.3, pp. 397-410 (9월, 1999)
  • [학술회의] 구형건, 전준기, 최경진, Asset Pricing with Consumption Frictions, Asia-Pacific Association of Derivatives, (7월, 2021)
  • [학술회의] 구형건, 전준기, 최경진, Consumption Heterogeneity, Business Cycle, and Asset Pricing, China International Conference in Finance (CICF2021), (7월, 2021)
  • [학술회의] 구형건, 전준기, 최경진, An Intertemporal Preference with Risk and Loss Aversion, Quantitative Method in Finance, (12월, 2019)
  • [학술회의] 구형건, 전준기, 최경진, Consumption Ratcheting and Loss Aversion 2, Tianfu International Conference on Financial Mathematics, (7월, 2019)
  • [학술회의] 구형건, 전준기, 최경진, Consumption Ratcheting, Loss Aversion and Long-term Asset Management, The 3rd KAFE-JAFEE International Conference on Finanical Engineering, (7월, 2019)
  • [학술회의] 구형건, 전준기, 최경진, Consumption Ratcheting and Loss Aversion 1, China International Conference in Finance, (7월, 2019)
  • [학술회의] 구형건, 전준기, 최경진, Costs of Adjustment, Loss Aversion, and Risk Management for Long-Term Investors, The 7th Asian Quantitative Finance Conference, (7월, 2019)
  • [학술회의] 구형건, 전준기, 최경진, Duesenberry's Theory of Consumption: Habit, Learning, and Ratcheting, North American Summer Meeting of the Econometric Socity, (6월, 2019)
  • [학술회의] 구형건, 유재인, 임병화, 최경진, Limited Commitment, Business Cycle, and Portfolio Selection 2, North American Summer Meeting of the Econometric Society, (6월, 2019)
  • [학술회의] 구형건, 유재인, 임병화, 최경진, Limited Commitment, Business Cycle, and Portfolio Selection 1, The 4th PKU-NUS Annual International Conference on Quantitative Finance and Economics, (5월, 2019)
  • [학술회의] 구형건, Asset Management and Continuous-Time Portfolio Selection Models, Quantitative Methods in Finance, (12월, 2018)
  • [학술회의] 구형건, Long-term Asset Management and Duesenberry's Theory of Consumption, The 6th Asian Quantitative Finance Conference, (11월, 2018)
  • [학술회의] 구형건, Porfolio Selection with Upward and Downward Ratcheting of Consumption, JAFEE 2018 하계대회 , (8월, 2018)
  • [학술회의] 구형건, Optimal Stopping Problems in the Context of Consumption and Portfolio Selection, International Conference on Mathematical Finance & Symposium on the Role of Mathematical Finance on Fintech Business, (8월, 2018)
  • [학술회의] 구형건, Zhou Yang, 신용현, Optimal Retirement, Consumption, Portfolio Decisions Decision in a General Non-Markovian Market Environment, 10th World Congress of the Bachelier Finance Society, (7월, 2018)
  • [학술회의] 구형건, Limited Commitment: Consumption/Portfolio Selection and Contracing, INFORMS Annual Meeting, (10월, 2017)
  • [학술회의] 구형건, Optimal Contracting and Optimal Consumption/Portfolio Selection with Limited Commitment, The Fifth Asian Quantitative Finance Conference, (4월, 2017)
  • [학술회의] 구형건, Zhou Yang, Optimal Consumption and Portfolio Selection with Early Retirement, Winter Workshop on Operations Research, Finance and Mathematics, 2017, (2월, 2017)
  • [학술회의] 구형건, Optimal Stopping Problems in Political Economy, 2016 International Conference on Global System Risk in Food, Climate Change and Finance, pp. 1-36 (10월, 2016)
  • [학술회의] 구형건, 유재인, 임병화, 최경진, Endogenous Credit Constraints and Household Porfolio Choices, Japanese Association of Financial Econometrics and Engineering, (8월, 2016)
  • [학술회의] 구형건, Real Options in Political Economy, Asian Quantitative Finance Conference, (2월, 2016)
  • [학술회의] 최경진, 유재인, 구형건, 임병화, Endogenous Credit Constraints and Household Portfolio Choices, Financial Management Association Annual Meeting , (10월, 2014)
  • [학술회의] 최경진, 유재인, 구형건, 임병화, Can the Endogenous Credit Constraint Explain the Heterogeneous Investment Behavior?, 2014 Asian Meeting of Econometric Society, (6월, 2014)
  • [학술회의] Kyoung Jin Choi, 구형건, 임병화, A Continuous-time Consumption and Investment Problem Under Endogenous liquidity Constraints, Asian Meeting of the Econometric Society, (8월, 2013)
  • [학술회의] 조중리, Shanjian Tang, 구형건, Optimal Consumption and Investment When Wealth Enters Utility Directly, Asian Meeting of the Econometric Society, (8월, 2013)
  • [학술회의] 구형건, Phi Dybvig, 장봉규, A Utility Model of learning How to Consume Effectively, Asian Meeting of the Econometric Society, (8월, 2013)
  • [학술회의] 구형건, 구병림, 구정림, A Friedman-Savage Consumer Almost Gambles: Consumption and Portfolio Selection with Non-concave Utility, The 7th Bachelier Colloquium, (1월, 2013)
  • [학술회의] Abel Cadenillas, 구형건, 성재영, Alain Bensoussan, An Equilibrium Loan Contract Under Moral Hazard in Continuous-time, The First Asian Quantitative Finance Conference, (1월, 2013)
  • [학술회의] 구형건, 구병림, 구정림, A Friedman-Savage Consumer Almost Gambles: Consumption and Portfolio Selection with Non-concave Utility, World Finance and Banking Symposium, (12월, 2012)
  • [학술회의] Abel Cadenillas, Alain Bensoussan, 구형건, 성재영, An Equilibrium Loan Contract Under Moral Hazard in Continuous-time , Analysis and Control of Stochastic Paritial Differential Equations, (12월, 2012)
  • [학술회의] 구형건, 독고윤, 심규철, Consumption-Investment Decisions with a Self-Financing Constraint: Are Entrepreneurs Risk-Loving?, 2012 Ajou International Workshop in Financial Economics and Mathematics, (7월, 2012)
  • [학술회의] 구병림, 구형건, 구정림, Friedman-Savage Revisited: Implications for Intertemporal Consumption and Portfolio Selection, 2012 SAET Conference, (7월, 2012)
  • [학술회의] 구형건, Shanjian Tang, 심규철, 신용현, A Dynkin Game with a Recursive Objective Function given by a Backward Stochastic Differential Equation and Its Associated Nonlinear Backward Stochastic Partial Differential Inequality, 2012 AMS Conference in Tampa, (3월, 2012)
  • [학술회의] 김용식, 구형건, 배형옥, An Option Pricing Method by Using Meshfree Approximation, 대한금융공학회, (12월, 2010)
  • [학술회의] 구형건, 현종석, Optimal Hedging under Kightian Uncertainty, International Research Forum, pp. 1-12 (12월, 2010)
  • [학술회의] 구형건, 성재영, 심규철, Hierarchical Contract and Collusion, SAET 2010, pp. 1-15 (8월, 2010)
  • [학술회의] 구형건, 임병화, Risk-averse market makers and excess volatilitiy, 10th SAET Conference 2010, pp. 1-26 (8월, 2010)
  • [학술회의] 구형건, Economics and Mathematics for Financial Engineering: Overview and Future Direction, AJOU Conference on Control Theory, Financial Mathematics and Financial Engineering, pp. 1-18 (7월, 2010)
  • [학술회의] 심규철, 구형건, 성재영, Hierarchical Contract and Collusion, 2009 Joint Meeting of KMS and AMS, (12월, 2009)
  • [학술회의] 구형건, Default Risk of Life Annuity and the Annuity Puzzle, 학술지 없음, (7월, 2009)
  • [학술회의] 구형건, 임병화, Oligopolistic market making and price volatility, Economic Theory, (6월, 2009)
  • [학술회의] 구형건, 성재영, 심규철, Hierarchical Contract, Firm Size, and Pay Sensitivity, Econometrica, Vol.1, No.1, pp. 1-50 (7월, 2008)
  • [학술회의] 구형건, 성재영, 심규철, Hierarchical Contract, Firm Size, and Pay Sensitivity, pp. 1-57 (7월, 2007)
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