Dynamic asset allocation with event risk
By: Jun Liu, Francis A. Longstaff, Jun Pan.
Contributors: Longstaff, Francis A., 1956-; Pan, Jun.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 9103; Working paper series (National Bureau of Economic Research) -- working paper no. 9103.
Publisher: National Bureau of Economic Research
Published: 2002
Place of publication: Cambridge, MA
Language: eng
Number of pages: 34
Subjects: Portfolio management -- Econometric models.; Risk.
Notes: "August 2002."

JEL no. G1.

Includes bibliographical references (p. 31-34).

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Electronic version available via the Internet at the NBER World Wide Web site.