Dynamic Asset Allocation with Event Risk

By Jun Liu, Francis A. Longstaff, Jun Pan. 2001

428 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/1fba5c92a545b533e43d3950791b94864a2aba48

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Citations in the corpus

Trading activity, realized volatility and jumps (2010, neutral): “…ability to identify realized jumps has important implications in financial management, from portfolio and risk management to option and bond pricing and hedging (Merton, 1976; Bates, 1996; Bakshi, Cao, and Chen, 2000; Liu, Longstaff, and Pan, 2003; Duffie and Singleton, 2000; and Piazzesi, 2003).”
Realised quantile-based estimation of the integrated variance (2010, neutral): “…by AïtSahalia (2004), the ability to disentangle jumps from volatility is key for the valuation of derivatives (e.g. Merton, 1976; Duffie et al., 2000), risk measurement and management (e.g. Duffie and Pan, 2001), as well as asset allocation (e.g. Jarrow and Rosenfeld, 1984; Liu et al., 2003).”
Robust Portfolio Choice with Uncertainty About Jump and Diffusion Risk (2013, positive): “The investor is ambiguity averse and relies on a robust control approach, following Maenhout (2004) and Liu, Pan, and Wang (2005).”
Portfolio Choice in Markets with Contagion (2012, neutral): “…(1984), Jeanblanc-Picqué and Pontier (1990), Shirakawa (1990), Han and Rachev (2000), Ortobelli et al. (2003), Kallsen (2000), Carr et al. (2001), Liu et al. (2003), Das and Uppal (2004), Emmer and Klüppelberg (2004), Madan (2004), Cvitanić et al. (2008), Delong and Klüppelberg (2008) and…”
Fact or friction: jumps at ultra high frequency (2014, neutral): “…jumps have a profoundly distinct impact on option pricing (e.g., Cox and Ross, 1976; Merton, 1976; Duﬃe, Pan, and Singleton, 2000), risk management (e.g., Duﬃe and Pan, 2001; Bakshi and Panayotov, 2010), and asset allocation (e.g., Jarrow and Rosenfeld, 1984; Liu, Longstaﬀ, and Pan, 2003).”
Optimal portfolio allocation with higher moments (2007, neutral): “Our notation will be simplified by using the conditional cumulant kernel Kt defined as Kt(s) = ∫ (e − 1)Π(vt, dx) (32)”
Optimal portfolios when volatility can jump (2008, neutral): “Due to this additional dependence on V , the indirect utility for the mis-specified model cannot be computed in closed-form as in Liu, Longstaff, and Pan (2003), who only consider trading in the stock and the money market account, i.e. in linear claims whose sensitivities cannot be mis-estimated.”
Correlation Risk and Optimal Portfolio Choice (2010, positive): “Liu, Longstaff, and Pan (2003) model events affecting market prices and volatility, using the double-jump framework in Duffie, Pan, and Singleton (2000).”