Rational pricing of leveraged ETF expense ratios

DOI10.1007/s10436-022-00408-9zbMath1498.91386arXiv2106.14820OpenAlexW3177221262MaRDI QIDQ2675246

Alex Garivaltis

Publication date: 21 September 2022

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2106.14820

zbMATH Keywords

investment managementcost of leverageexpense ratiosleveraged ETFsmargin loansvolatility decay

Mathematics Subject Classification ID

Portfolio theory (91G10)

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