Path-dependence of leveraged ETF returns

DOI10.1137/090760805MaRDI QIDQ3580039zbMATH OpenOpenAlexFDO

Authors Stanley Zhang, Marco Avellaneda

Publication date 11 August 2010

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/11f1cc7a998a583a79de1ae8bedf89d1ec77138b

zbMATH Keywords

ETFsleveraged ETFsvolatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cited in

(27)

• Pricing European call options under a hard-to-borrow stock model
• An optimisation approach to constructing an exchange-traded fund
• Dissecting the tracking performance of regular and leveraged VIX ETPs
• Rational pricing of leveraged ETF expense ratios
• Consistent pricing of options on leveraged ETFs
• A study of leveraged ETF based on geometric return
• Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
• Optimal static quadratic hedging
• The dynamics of leveraged ETFs returns: a panel data study
• Intraday share price volatility and leveraged ETF rebalancing
• Dynamic index tracking and risk exposure control using derivatives
• Short-time expansions for call options on leveraged ETFs under exponential Lévy models with local volatility
• Implied volatility of leveraged ETF options
• Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models
• Portfolio rebalancing error with jumps and mean reversion in asset prices
• Model-driven statistical arbitrage on LETF option markets
• Modelling the rebalancing slippage of leveraged exchange-traded funds
• LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH
• Leveraged ETF implied volatilities from ETF dynamics
• Leveraged funds: robust replication and performance evaluation
• Robust replication of volatility and hybrid derivatives on jump diffusions
• In memoriam: Marco Avellaneda (1955–2022)
• A note on constant proportion trading strategies
• Robust long-term growth rate of expected utility for leveraged ETFs
• Robust hedging of options on a leveraged exchange traded fund
• Variable step-size IMEX scheme for a partial differential equation with delays and mixed derivative from option pricing under hard-to-borrow model
• Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark

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