Dynamic Asset Allocation With Event Risk
收藏NBER2002-08-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w9103
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2002-08-01
