TAILIEUCHUNG - Dynamic Asset Allocationwith Event Risk

Why is benchmarking SIEM important? According to the National Institute of Standards (NIST), SIEM software is a relatively new type of centralized logging software compared to syslog. Our SANS Log Management Survey1 shows 51 percent of respondents ranked collecting logs as their most critical challenge – and collecting logs is a basic feature a SIEM system can provide. Further, a recent NetworkWorld article2 explains how different SIEM products typically integrate well with selected logging tools, but not with all tools. This is due to the disparity between logging and reporting formats from different systems. There. | THE JOURNAL OF FINANCE VOL. LVIII NO. 1 FEB. 2003 Dynamic Asset Allocation with Event Risk JUN LIU FRANCIS A. LONGSTAFF and JUN PAN ABSTRACT 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 Duffle 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. One of the inherent hazards of investing in financial markets is the risk of a maj or event precipitating a sudden large shock to security prices and are many examples of this type of event including most recently the September 11 2001 terrorist attacks. Other recent examples include the stock market crash of October 19 1987 in which the Dow index fell by 508 points the October 27 1997 drop in the Dow index by more than 554 points and the flight to quality in the aftermath of the Russian debt default where swap spreads increased on August 27 1998 by more than 20 times their daily standard deviation leading to the downfall of Long Term Capital Management and many other highly leveraged hedge funds. Each of these events was accompanied by major increases in market The risk of event-related jumps in security prices and volatility changes the standard dynamic portfolio choice problem in several important ways. In the standard problem security prices are continuous and instantaneous returns have infinitesimal standard deviations an investor considers only small local changes in security prices in selecting a event-related jumps however the investor must also .

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