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Long-Term Growth Rate of Leveraged ETFs by Samuel is a document available to read on EtoBox.
This paper examines the robust long-term growth rate of expected utility and returns from leveraged exchange-traded funds (LETFs) under uncertain parameters of the reference asset. It derives the growth rate by analyzing worst-case scenarios and identifies the optimal leverage ratio to maximize this growth rate across various models, including geometric Brownian motion and stochastic volatility models. The study extends previous work and offers practical insights for investors managing risks associated with
- Author
- Samuel
- Language
- EN