Understanding the risk of leveraged ETFs
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- R. Alton Gilbert & Adam M. Zaretsky, 2003. "Banking antitrust: are the assumptions still valid?," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 29-52.
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- Tugkan Tuzun, 2013. "Are leveraged and inverse ETFs the new portfolio insurers?," Finance and Economics Discussion Series 2013-48, Board of Governors of the Federal Reserve System (U.S.).
- Charupat, Narat & Miu, Peter, 2011. "The pricing and performance of leveraged exchange-traded funds," Journal of Banking & Finance, Elsevier, vol. 35(4), pages 966-977, April.
- Li, Mingsheng & Zhao, Xin, 2014. "Impact of leveraged ETF trading on the market quality of component stocks," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 90-108.
- Andrea Frazzini & Lasse H. Pedersen, 2012. "Embedded Leverage," NBER Working Papers 18558, National Bureau of Economic Research, Inc.
- Tim Leung & Qingshuo Song & Jie Yang, 2013.
"Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing,"
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Springer, vol. 17(4), pages 839-870, October.
- Tim Leung & Qingshuo Song & Jie Yang, 2011. "Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing," Papers 1109.5316, arXiv.org, revised Mar 2013.
- Jason Scott & John Watson, 2013. "The Floor-Leverage Rule for Retirement," Discussion Papers 13-013, Stanford Institute for Economic Policy Research.
- Narat Charupat & Peter Miu, 2013. "The Pricing Efficiency Of Leveraged Exchange-Traded Funds: Evidence From The U.S. Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 36(2), pages 253-278, June.
- Bell, Peter N, 2010. "Beta estimates for leveraged ETF," MPRA Paper 26950, University Library of Munich, Germany.
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KeywordsLeveraged ETFs Inverse ETFs Dynamic portfolio construction;
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