Leveraged Exchange-Traded Funds with Market Closure and Frictions
References
- (2005) Asset pricing with liquidity risk. J. Financial Econom. 77(2):375–410.Crossref, Google Scholar
- (1988) A theory of intraday patterns: Volume and price variability. Rev. Financial Stud. 1(1):3–40.Crossref, Google Scholar
- (2020) Intraday market making with overnight inventory costs. J. Financial Markets 50:100564.Crossref, Google Scholar
- (2001) Optimal execution of portfolio transactions. J. Risk 3:5–40.Crossref, Google Scholar
- (2012) Structural slippage of leveraged ETFs. Preprint, submitted September 18, https://dx.doi.org/10.2139/ssrn.2127738. Google Scholar
- (2010) Path-dependence of leveraged ETF returns. SIAM J. Financial Math. 1(1):586–603.Crossref, Google Scholar
- (2011) The impact of leveraged and inverse ETFs on underlying stock returns. 46th Annual AREUEA Conference Paper, Denver, CO. Google Scholar
- (1998) Optimal control of execution costs. J. Financial Markets 1(1):1–50.Crossref, Google Scholar
- (2002) Predicting equity liquidity. Management Sci. 48(4):470–483.Link, Google Scholar
- (2005) Predatory trading. J. Finance 60(4):1825–1863.Crossref, Google Scholar
- (2015) Algorithmic and High-Frequency Trading (Cambridge University Press, Cambridge, UK). Google Scholar
- (2016) Leveraged Exchange-Traded Funds (Palgrave Macmillan, New York).Google Scholar
- (2009) The dynamics of leveraged and inverse exchange-traded funds. J. Investment Management 7(4):43–62. Google Scholar
- (2014) The price impact of order book events. J. Financial Econom. 12(1):47–88.Crossref, Google Scholar
- (2015) Portfolio choice with market closure and implications for liquidity premia. Management Sci. 62(2):368–386.Link, Google Scholar
- (2015) Optimal execution of a VWAP order: A stochastic control approach. Math. Finance 25(3):612–639.Crossref, Google Scholar
- (2013) Dynamic trading with predictable returns and transaction costs. J. Finance 68(6):2309–2340.Crossref, Google Scholar
- (2016) Dynamic portfolio choice with frictions. J. Econom. Theory 165:487–516.Crossref, Google Scholar
- (2005) Short-and long-term demand curves for stocks: Theory and evidence on the dynamics of arbitrage. J. Financial Econom. 75(3):607–649.Crossref, Google Scholar
- (1988) Liquidity and market structure. J. Finance 43(3):617–633.Crossref, Google Scholar
- (2017) Leveraged funds: Robust replication and performance evaluation. Michael J. Brennan Irish Finance Working Paper Series Research Paper 19–1, Financial Mathematics and Computation (FMC) Cluster, Ireland. Google Scholar
- (2013) Recursive Models of Dynamic Linear Economies (Princeton University Press, Princeton, NJ). Google Scholar
- (2011) A note on constant proportion trading strategies. Oper. Res. Lett. 39(3):172–179.Crossref, Google Scholar
- (2014) The performance of leveraged and inverse leveraged exchange traded funds. J. Investment Management 12(1):69–92.Google Scholar
- (2010) Understanding the risk of leveraged ETFs. Finance Res. Lett. 7(3):135–139.Crossref, Google Scholar
- (2021) Discrete dividend payments in continuous time. Math. Oper. Res. 46(3):895–911. Link, Google Scholar
- (1985) Continuous auctions and insider trading. Econometrica 53(6):1315–1335.Crossref, Google Scholar
- (1990) An examination of stock market return volatility during overnight and intraday periods, 1964–1989. J. Finance 45(2):591–601.Crossref, Google Scholar
- (2017) Trading with small price impact. Math. Finance 27(2):350–400.Crossref, Google Scholar
- (2013) Optimal trading strategy and supply/demand dynamics. J. Financial Markets 16(1):1–32.Crossref, Google Scholar
- Proshares Trust (2022) Statutory Prospectus. Available at https://www.proshares.com/globalassets/proshares/prospectuses/statutory_prospectus.pdf.Google Scholar
- (2012) Measuring and odelling execution cost and risk. J. Portfolio Management 38(2):14–28.Crossref, Google Scholar
- (2010) The cost of illiquidity and its effects on hedging. Math. Finance 20(4):597–615.Crossref, Google Scholar
- (2013) Leveraged and inverse ETF performance during the financial crisis. Managerial Finance 39(5):476–508.Crossref, Google Scholar
- (1990) Stock market structure and volatility. Rev. Financial Stud. 3(1):37–71.Crossref, Google Scholar
- (2013) Solving the return deviation conundrum of leveraged exchange-traded funds. J. Financial Quant. Anal. 48(1):309–342.Crossref, Google Scholar
- (2014) Are leveraged and inverse ETFs the new portfolio insurers? Paris December 2014 Finance Meeting EUROFIDAI-AFFI Paper, Paris. Google Scholar
- (2014) Modelling the rebalancing slippage of leveraged exchange-traded funds. Quant. Finance 14(9):1503–1511.Crossref, Google Scholar

