Dynamic Asset Allocation With Event Risk
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- Jun Liu & Francis A. Longstaff & Jun Pan, 2003. "Dynamic Asset Allocation with Event Risk," Journal of Finance, American Finance Association, vol. 58(1), pages 231-259, February.
- Liu, Jun & Longstaff, Francis & Pan, Jun, 2001. "Dynamic Asset Allocation with Event Risk," University of California at Los Angeles, Anderson Graduate School of Management qt9fm6t5nb, Anderson Graduate School of Management, UCLA.
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JEL classification:
- G1 - Financial Economics - - General Financial Markets
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This paper has been announced in the following NEP Reports:- NEP-FMK-2002-08-16 (Financial Markets)
- NEP-IAS-2002-08-08 (Insurance Economics)
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