| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9103 |
| 来源ID | Working Paper 9103 |
| Dynamic Asset Allocation With Event Risk | |
| Jun Liu; Francis A. Longstaff; Jun Pan | |
| 发表日期 | 2002-08-08 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | Major events often trigger abrupt changes in stock prices and volatility. We study the implications of jumps in prices and volatility on investment strategies. Using the event-risk framework of Duffie, Pan, and Singleton (2000), we provide analytical solutions to the optimal portfolio problem. Event risk dramatically affects the optimal strategy. An investor facing event risk is less willing to take leveraged or short positions. The investor acts as if some portion of his wealth may become illiquid and the optimal strategy blends both dynamic and buy-and-hold strategies. Jumps in prices and volatility both have important effects. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w9103 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566714 |
| 推荐引用方式 GB/T 7714 | Jun Liu,Francis A. Longstaff,Jun Pan. Dynamic Asset Allocation With Event Risk. 2002. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w9103.pdf（400KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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