2 citations · 2 across the 10 of their papers we have counts for
4 papers · 1 filter
Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach
Tim Leung, Hyungbin Park
This paper studies the long-term growth rate of expected utility from holding a leveraged exchanged-traded fund (LETF), which is a constant proportion portfolio of the reference as…
Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies
Tim Leung, Jamie Kang
American Depositary Receipts (ADRs) are exchange-traded certificates that rep- resent shares of non-U.S. company securities. They are major financial instruments for investing in f…
Understanding the Tracking Errors of Commodity Leveraged ETFs
Kevin Guo, Tim Leung
Commodity exchange-traded funds (ETFs) are a significant part of the rapidly growing ETF market. They have become popular in recent years as they provide investors access to a grea…
Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics
Tim Leung, Zheng Wang
This paper studies the optimal risk-averse timing to sell a risky asset. The investor's risk preference is described by the exponential, power, or log utility. Two stochastic model…