Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark
Fuente:
arXiv
Saved in:
| Main Authors: | van Staden, Pieter, Forsyth, Peter, Li, Yuying |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Money-Back Tontines for Retirement Decumulation: Neural-Network Optimization under Systematic Longevity Risk
by: Orozco, German Nova, et al.
Published: (2026)
by: Orozco, German Nova, et al.
Published: (2026)
Nonconcave Portfolio Choice under Smooth Ambiguity
by: Borgonovo, Emanuele, et al.
Published: (2026)
by: Borgonovo, Emanuele, et al.
Published: (2026)
Numerical methods for optimal decumulation of a defined contribution pension plan
by: Forsyth, Peter A., et al.
Published: (2026)
by: Forsyth, Peter A., et al.
Published: (2026)
Optimal dividend payout with path-dependent drawdown constraint
by: Guan, Chonghu, et al.
Published: (2023)
by: Guan, Chonghu, et al.
Published: (2023)
Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment
by: Garces, Len Patrick Dominic M., et al.
Published: (2024)
by: Garces, Len Patrick Dominic M., et al.
Published: (2024)
Mean--Variance Portfolio Selection by Continuous-Time Reinforcement Learning: Algorithms, Regret Analysis, and Empirical Study
by: Huang, Yilie, et al.
Published: (2024)
by: Huang, Yilie, et al.
Published: (2024)
Neural Policy Iteration for Stochastic Optimal Control: A Physics-Informed Approach
by: Kim, Yeongjong, et al.
Published: (2025)
by: Kim, Yeongjong, et al.
Published: (2025)
Multi-period Mean-Buffered Probability of Exceedance in Defined Contribution Portfolio Optimization
by: Dang, Duy-Minh, et al.
Published: (2025)
by: Dang, Duy-Minh, et al.
Published: (2025)
Exploratory Randomization for Discrete-Time Linear Exponential Quadratic Gaussian (LEQG) Problem
by: Lleo, Sebastien, et al.
Published: (2025)
by: Lleo, Sebastien, et al.
Published: (2025)
Dynamically optimal portfolios for monotone mean--variance preferences
by: Černý, Aleš, et al.
Published: (2025)
by: Černý, Aleš, et al.
Published: (2025)
$α$-robust utility maximization with intractable claims: A quantile optimization approach
by: Chen, Xinyu, et al.
Published: (2026)
by: Chen, Xinyu, et al.
Published: (2026)
Exploratory Randomization for Discrete-Time Risk-Sensitive Benchmarked Investment Management with Reinforcement Learning
by: Lleo, Sebastien, et al.
Published: (2026)
by: Lleo, Sebastien, et al.
Published: (2026)
Robust Reinforcement Learning with Dynamic Distortion Risk Measures
by: Coache, Anthony, et al.
Published: (2024)
by: Coache, Anthony, et al.
Published: (2024)
Optimal consumption under loss-averse multiplicative habit-formation preferences
by: Angoshtari, Bahman, et al.
Published: (2024)
by: Angoshtari, Bahman, et al.
Published: (2024)
Dividend ratcheting and capital injection under the Cramér-Lundberg model: Strong solution and optimal strategy
by: Guan, Chonghu, et al.
Published: (2026)
by: Guan, Chonghu, et al.
Published: (2026)
Physics-informed approach for exploratory Hamilton--Jacobi--Bellman equations via policy iterations
by: Kim, Yeongjong, et al.
Published: (2025)
by: Kim, Yeongjong, et al.
Published: (2025)
Robust Trading in a Generalized Lattice Market
by: Hsieh, Chung-Han, et al.
Published: (2023)
by: Hsieh, Chung-Han, et al.
Published: (2023)
Optimal two-parameter portfolio management strategy with transaction costs
by: Ma, Chutian, et al.
Published: (2024)
by: Ma, Chutian, et al.
Published: (2024)
Continuous-time Risk-sensitive Reinforcement Learning via Quadratic Variation Penalty
by: Jia, Yanwei
Published: (2024)
by: Jia, Yanwei
Published: (2024)
Mean-Field Price Formation on Trees with a Network of Relative Performance Concerns
by: Fujii, Masaaki
Published: (2025)
by: Fujii, Masaaki
Published: (2025)
Mean-Field Price Formation on Trees with Multi-Population and Non-Rational Agents
by: Fujii, Masaaki
Published: (2025)
by: Fujii, Masaaki
Published: (2025)
Monotone inclusion methods for a class of second-order non-potential mean-field games
by: Nurbekyan, Levon, et al.
Published: (2024)
by: Nurbekyan, Levon, et al.
Published: (2024)
Periodic portfolio selection with quasi-hyperbolic discounting
by: Hamaguchi, Yushi, et al.
Published: (2024)
by: Hamaguchi, Yushi, et al.
Published: (2024)
Power Utility Maximization with Expert Opinions at Fixed Arrival Times in a Market with Hidden Gaussian Drift
by: Gabih, Abdelali, et al.
Published: (2023)
by: Gabih, Abdelali, et al.
Published: (2023)
Reinforcement Learning for Speculative Trading under Exploratory Framework
by: Zhao, Yun, et al.
Published: (2026)
by: Zhao, Yun, et al.
Published: (2026)
An Operator Learning Approach to Nonsmooth Optimal Control of Nonlinear PDEs
by: Song, Yongcun, et al.
Published: (2024)
by: Song, Yongcun, et al.
Published: (2024)
Optimal Investment and Consumption in a Stochastic Factor Model
by: Gutekunst, Florian, et al.
Published: (2025)
by: Gutekunst, Florian, et al.
Published: (2025)
Optimal Trading under Instantaneous and Persistent Price Impact, Predictable Returns and Multiscale Stochastic Volatility
by: Chan, Patrick, et al.
Published: (2025)
by: Chan, Patrick, et al.
Published: (2025)
Robust Utility Optimization via a GAN Approach
by: Krach, Florian, et al.
Published: (2024)
by: Krach, Florian, et al.
Published: (2024)
Discrete time optimal investment under model uncertainty
by: Carassus, Laurence, et al.
Published: (2023)
by: Carassus, Laurence, et al.
Published: (2023)
Constrained monotone mean--variance investment-reinsurance under the Cramér--Lundberg model with random coefficients
by: Shi, Xiaomin, et al.
Published: (2024)
by: Shi, Xiaomin, et al.
Published: (2024)
Entropy Regularization under Bayesian Drift Uncertainty
by: Au, Andy
Published: (2026)
by: Au, Andy
Published: (2026)
Optimal ratcheting of dividend payout under Brownian motion surplus
by: Guan, Chonghu, et al.
Published: (2023)
by: Guan, Chonghu, et al.
Published: (2023)
Optimal Portfolio Choice with Cross-Impact Propagators
by: Jaber, Eduardo Abi, et al.
Published: (2024)
by: Jaber, Eduardo Abi, et al.
Published: (2024)
Theoretical and numerical indirect stabilization of coupled wave equations with a single time-delayed damping
by: Moumni, Alhabib, et al.
Published: (2024)
by: Moumni, Alhabib, et al.
Published: (2024)
A New Algorithm for Computing the Stabilizing Solution of General Periodic Time-Varying Stochastic Game-Theoretic Riccati Differential Equations
by: Wang, Yiyuan
Published: (2025)
by: Wang, Yiyuan
Published: (2025)
A Convergent Algorithm Based on Deterministic Approximation for a Large Class of Regime-Switching Generalized Stochastic Game-Theoretic Riccati Differential Equations
by: Wang, Yiyuan
Published: (2025)
by: Wang, Yiyuan
Published: (2025)
Tracking controllability on moving targets for parabolic equations
by: Apraiz, Jone, et al.
Published: (2026)
by: Apraiz, Jone, et al.
Published: (2026)
Risk-Sensitive Investment Management via Free Energy-Entropy Duality
by: Lleo, Sebastien, et al.
Published: (2026)
by: Lleo, Sebastien, et al.
Published: (2026)
Finite Difference Method for Global Stabilization of the Viscous Burgers' Equation with Nonlinear Neumann Boundary Feedback Control
by: Singh, Shishu Pal, et al.
Published: (2025)
by: Singh, Shishu Pal, et al.
Published: (2025)
Similar Items
-
Money-Back Tontines for Retirement Decumulation: Neural-Network Optimization under Systematic Longevity Risk
by: Orozco, German Nova, et al.
Published: (2026) -
Nonconcave Portfolio Choice under Smooth Ambiguity
by: Borgonovo, Emanuele, et al.
Published: (2026) -
Numerical methods for optimal decumulation of a defined contribution pension plan
by: Forsyth, Peter A., et al.
Published: (2026) -
Optimal dividend payout with path-dependent drawdown constraint
by: Guan, Chonghu, et al.
Published: (2023) -
Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment
by: Garces, Len Patrick Dominic M., et al.
Published: (2024)