Information and trading targets in a dynamic market equilibrium JH Choi, K Larsen, DJ Seppi
Journal of Financial Economics 132 (3), 22-49, 2019
48 2019 Shadow prices and well-posedness in the problem of optimal investment and consumption with transaction costs JH Choi, M Sirbu, G Zitkovic
SIAM Journal on Control and Optimization 51 (6), 4414-4449, 2013
40 2013 Taylor approximation of incomplete Radner equilibrium models JH Choi, K Larsen
Finance and Stochastics 19, 653-679, 2015
32 2015 Equilibrium effects of intraday order-splitting benchmarks JH Choi, K Larsen, DJ Seppi
Mathematics and Financial Economics 15 (2), 315-352, 2021
24 * 2021 Optimal consumption and investment with liquid and illiquid assets JH Choi
Mathematical Finance, 2016
8 * 2016 Asymptotic analysis for Merton's problem with transaction costs in power utility case JH Choi
Stochastics An International Journal of Probability and Stochastic Processes …, 2014
6 2014 Price impact in Nash equilibria X Chen, JH Choi, K Larsen, DJ Seppi
Finance and Stochastics 27 (2), 305-340, 2023
5 * 2023 Security defense against long-term and stealthy cyberattacks K Han, JH Choi, Y Choi, GM Lee, AB Whinston
Decision Support Systems 166, 113912, 2023
3 2023 Learning about latent dynamic trading demand X Chen, JH Choi, K Larsen, DJ Seppi
Mathematics and Financial Economics 16 (4), 615-658, 2022
3 2022 Trading constraints in continuous-time Kyle models JH Choi, H Kwon, K Larsen
SIAM Journal on Control and Optimization 61 (3), 1494-1512, 2023
2 2023 Endogenous noise trackers in a radner equilibrium JH Choi, K Weston
SIAM Journal on Financial Mathematics 13 (4), 1326-1343, 2022
2 2022 Optimal Investment in an Illiquid Market with Search Frictions and Transaction Costs TU Gang, JH Choi
Applied Mathematics & Optimization 88 (1), 3, 2023
1 * 2023 Implications of false alarms in dynamic games on cyber-security K Han, JH Choi
Chaos, Solitons & Fractals 169, 113322, 2023
1 2023 A reputation game on cyber-security and cyber-risk calibration K Han, JH Choi
Applied Mathematics & Optimization 85 (2), 13, 2022
1 2022 Optimal contract for outsourcing information acquisition K Han, JH Choi
Economics letters 195, 109443, 2020
1 2020 A multi-agent targeted trading equilibrium with transaction costs JH Choi, J Duraj, K Weston
SIAM Journal on Financial Mathematics 15 (1), 161-193, 2024
2024 Delegation of information acquisition, information asymmetry, and outside option JH Choi, K Han
International Journal of Game Theory 52 (3), 833-860, 2023
2023