Matches in SemOpenAlex for { <https://semopenalex.org/work/W1491191900> ?p ?o ?g. }
Showing items 1 to 61 of
61
with 100 items per page.
- W1491191900 abstract "This paper provides a quantitative risk analysis of leveraged ETFs (LETFs) with a focus on the impact of leverage and investment horizon. From the empirical returns of several major LETFs based on the S&P 500 index, the performance of LETFs generally declines as investment horizon increases, compared to the reference index. The value erosion is more severe for highly leveraged ETFs. To better understand the risk impact of leverage, we introduce the admissible leverage ratio induced by a risk measure, for example, value-at-risk (VaR) and conditional VaR. This idea can help investors exclude LETFs that are deemed too risky. Moreover, we also discuss the concept of admissible risk horizon so that the investor can control risk exposure by selecting an appropriate holding period. In addition, we also compute the intra-horizon risk, which leads us to evaluate a stop-loss/take-profit strategy for LETFs. Lastly, we investigate the impact of volatility exposure on the return of different LETF portfolios." @default.
- W1491191900 created "2016-06-24" @default.
- W1491191900 creator A5044975638 @default.
- W1491191900 creator A5086544809 @default.
- W1491191900 date "2012-01-01" @default.
- W1491191900 modified "2023-09-23" @default.
- W1491191900 title "Leveraged ETFs: Admissible Leverage and Risk Horizon" @default.
- W1491191900 cites W1866618883 @default.
- W1491191900 cites W2047163699 @default.
- W1491191900 cites W2164654914 @default.
- W1491191900 cites W2175917540 @default.
- W1491191900 doi "https://doi.org/10.2139/ssrn.2172096" @default.
- W1491191900 hasPublicationYear "2012" @default.
- W1491191900 type Work @default.
- W1491191900 sameAs 1491191900 @default.
- W1491191900 citedByCount "5" @default.
- W1491191900 countsByYear W14911919002012 @default.
- W1491191900 countsByYear W14911919002015 @default.
- W1491191900 countsByYear W14911919002017 @default.
- W1491191900 crossrefType "journal-article" @default.
- W1491191900 hasAuthorship W1491191900A5044975638 @default.
- W1491191900 hasAuthorship W1491191900A5086544809 @default.
- W1491191900 hasConcept C106159729 @default.
- W1491191900 hasConcept C144133560 @default.
- W1491191900 hasConcept C149782125 @default.
- W1491191900 hasConcept C153083717 @default.
- W1491191900 hasConcept C154945302 @default.
- W1491191900 hasConcept C159176650 @default.
- W1491191900 hasConcept C162118730 @default.
- W1491191900 hasConcept C162324750 @default.
- W1491191900 hasConcept C2524010 @default.
- W1491191900 hasConcept C33923547 @default.
- W1491191900 hasConcept C41008148 @default.
- W1491191900 hasConceptScore W1491191900C106159729 @default.
- W1491191900 hasConceptScore W1491191900C144133560 @default.
- W1491191900 hasConceptScore W1491191900C149782125 @default.
- W1491191900 hasConceptScore W1491191900C153083717 @default.
- W1491191900 hasConceptScore W1491191900C154945302 @default.
- W1491191900 hasConceptScore W1491191900C159176650 @default.
- W1491191900 hasConceptScore W1491191900C162118730 @default.
- W1491191900 hasConceptScore W1491191900C162324750 @default.
- W1491191900 hasConceptScore W1491191900C2524010 @default.
- W1491191900 hasConceptScore W1491191900C33923547 @default.
- W1491191900 hasConceptScore W1491191900C41008148 @default.
- W1491191900 hasLocation W14911919001 @default.
- W1491191900 hasOpenAccess W1491191900 @default.
- W1491191900 hasPrimaryLocation W14911919001 @default.
- W1491191900 hasRelatedWork W2030617584 @default.
- W1491191900 hasRelatedWork W2043537934 @default.
- W1491191900 hasRelatedWork W2147991347 @default.
- W1491191900 hasRelatedWork W2351315160 @default.
- W1491191900 hasRelatedWork W2357934290 @default.
- W1491191900 hasRelatedWork W2613876303 @default.
- W1491191900 hasRelatedWork W2793253569 @default.
- W1491191900 hasRelatedWork W2909688504 @default.
- W1491191900 hasRelatedWork W3128025644 @default.
- W1491191900 hasRelatedWork W4200002988 @default.
- W1491191900 isParatext "false" @default.
- W1491191900 isRetracted "false" @default.
- W1491191900 magId "1491191900" @default.
- W1491191900 workType "article" @default.