Modelling the rebalancing slippage of leveraged exchange-traded funds

DOI10.1080/14697688.2014.916817zbMath1422.91739OpenAlexW3124229286MaRDI QIDQ5245908

Lakshithe Wagalath

Publication date: 16 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2014.916817

zbMATH Keywords

leveraged ETFsrebalancing strategy

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items

Leveraged funds: robust replication and performance evaluation

Cites Work

• RUNNING FOR THE EXIT: DISTRESSED SELLING AND ENDOGENOUS CORRELATION IN FINANCIAL MARKETS
• Path-Dependence of Leveraged ETF Returns
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options