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Leveraged Exchange-Traded Funds

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This book provides an analysis, under both discrete-time and continuous-time frameworks, on the price dynamics of leveraged exchange-traded funds (LETFs), with emphasis on the roles of leverage ratio, realized volatility, investment horizon, and tracking errors. This study provides new insights on the risks associated with LETFs.

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This book provides an analysis, under both discrete-time and continuous-time frameworks, on the price dynamics of leveraged exchange-traded funds (LETFs), with emphasis on the roles of leverage ratio, realized volatility, investment horizon, and tracking errors. This study provides new insights on the risks associated with LETFs.

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Book Format

Hardcover, Softcover

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Book information

Edition
1st Edition
ISBN [Softcover]
9783319290928
Publisher
Springer
Year
2016
Pages
X, 97 p.
Series Title
SpringerBriefs in Quantitative Finance
Language
English
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