Leveraged funds: robust replication and performance evaluation

DOI10.1080/14697688.2023.2222753MaRDI QIDQ6053126zbMATH OpenOpenAlexFDO

Authors Paolo Guasoni, Eberhard Mayerhofer

Publication date 25 September 2023

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/14697688.2023.2222753

zbMATH Keywords

ETFsleverageperformance evaluationtracking errortransaction costs

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Path-dependence of leveraged ETF returns
• Modelling the rebalancing slippage of leveraged exchange-traded funds
• Index mutual fund replication
• The dynamics of leveraged ETFs returns: a panel data study
• A study of leveraged ETF based on geometric return

Cites work

• A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
• Analytic functions of several complex variables
• scientific article; zbMATH DE number 2133124 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• Modelling the rebalancing slippage of leveraged exchange-traded funds
• Optimal investment and consumption with transaction costs
• Path-dependence of leveraged ETF returns
• Portfolio Selection with Transaction Costs
• Portfolio selection with transactions costs
• Small‐cost asymptotics for long‐term growth rates in incomplete markets
• The general structure of optimal investment and consumption with small transaction costs
• The limits of leverage
• Towards a theory of volatility trading
• Transaction costs, trading volume, and the liquidity premium

Cited in

(8)

• Rational pricing of leveraged ETF expense ratios
• A study of leveraged ETF based on geometric return
• Path-dependence of leveraged ETF returns
• The dynamics of leveraged ETFs returns: a panel data study
• Hedge fund replication: a model combination approach
• Modelling the rebalancing slippage of leveraged exchange-traded funds
• The limits of leverage
• Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark

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