2 papers
q-fin.MF2023
Robust Long-Term Growth Rate of Expected Utility for Leveraged ETFs
Tim Leung, Hyungbin Park, Heejun Yeo
This paper analyzes the robust long-term growth rate of expected utility and expected return from holding a leveraged exchange-traded fund (LETF). When the Markovian model paramete…
q-fin.MF2016
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…