2 papers
q-fin.ST2025
Compounding Effects in Leveraged ETFs: Beyond the Volatility Drag Paradigm
Chung-Han Hsieh, Jow-Ran Chang, Hui Hsiang Chen
A common belief is that leveraged ETFs (LETFs) suffer long-term performance decay due to \emph{volatility drag}. We show that this view is incomplete: LETF performance depends fund…
q-fin.PM2025
A Dynamic Model of Private Asset Allocation
Hui Chen, Giovanni Gambarotta, Simon Scheidegger +1
We build a state-of-the-art dynamic model of private asset allocation that considers five key features of private asset markets: (1) the illiquid nature of private assets, (2) timi…