42 citations · 144 across the 29 of their papers we have counts for
7 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…
Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options
Kevin Guo, Tim Leung
This paper studies the market phenomenon of non-convergence between futures and spot prices in the grains market. We postulate that the positive basis observed at maturity stems fr…
Speculative Futures Trading under Mean Reversion
Tim Leung, Jiao Li, Xin Li +1
This paper studies the problem of trading futures with transaction costs when the underlying spot price is mean-reverting. Specifically, we model the spot dynamics by the Ornstein-…