Dynamic Asset Allocation with Event Risk
研究价格和波动率的跳跃如何影响投资策略，利用事件风险框架给出最优投资组合的解析解，发现事件风险使投资者更不愿加杠杆或做空，并混合动态与买入持有策略。
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.