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| Author: | Liu, J. Longstaff, F.A. Pan, J. |
| Title: | Dynamic asset allocation with event risk |
| Journal: | Journal of Finance
2003 : FEB, VOL. 58:1, p. 231-259 |
| Index terms: | Asset management Dynamic models Risk Share prices Volatility |
| Language: | eng |
| Abstract: | Abrupt changes in stock prices and volatility are often triggered by major events. The implications of jumps in prices and volatility on investment strategies are studied. The authors provide analytical solutions to the optimal portfolio problem using the event-risk framework of Duffie, Pan and Singleton (2000). |
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