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Dynamic asset allocation with event risk

Liu, Jun; Longstaff, Francis A.; Pan, Jun - 2002

Persistent link: https://www.econbiz.de/10001689160

Dynamic derivative strategies

Liu, Jun; Pan, Jun - In: Journal of financial economics 69 (2003) 3, pp. 401-430

Persistent link: https://www.econbiz.de/10001787696

Dynamic asset allocation with event risk

Liu, Jun; Longstaff, Francis A.; Pan, Jun - In: The journal of finance : the journal of the American … 58 (2003) 1, pp. 231-260

Persistent link: https://www.econbiz.de/10001737272

Dynamic Asset Allocation with Event Risk

Liu, Jun - 2002

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....

Persistent link: https://www.econbiz.de/10012787129

Dynamic Asset Allocation With Event Risk

Liu, Jun - 2002

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....

Persistent link: https://www.econbiz.de/10012469608

The jump-risk premia implicit in options : evidence from an integrated time-series study

Pan, Jun - In: Journal of financial economics 63 (2002) 1, pp. 3-50

Persistent link: https://www.econbiz.de/10001634368

Portfolio selection in stochastic environments

Liu, Jun - In: The review of financial studies 20 (2007) 1, pp. 1-39

Persistent link: https://www.econbiz.de/10003403670

Volatility information trading in the option market

Ni, Sophie X.; Pan, Jun; Poteshman, Allen M. - In: The journal of finance : the journal of the American … 63 (2008) 3, pp. 1059-1091

Persistent link: https://www.econbiz.de/10003822210

Excess volatility of corporate bonds

Bao, Jack; Pan, Jun - 2010

Persistent link: https://www.econbiz.de/10008702790

Bond illiquidity and excess volatility

Bao, Jack; Pan, Jun - In: The review of financial studies 26 (2013) 12, pp. 3068-3103

Persistent link: https://www.econbiz.de/10010237371

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