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Leveraged Exchange-Traded Funds with Market Closure and Frictions

Although leveraged exchange-traded funds (ETFs) are popular products for retail investors, how to hedge them poses a great challenge to financial institutions. We develop an optimal rebalancing (hedging) model for leveraged ETFs in a comprehensive setting, including overnight market closure and market frictions. The model allows for an analytical optimal rebalancing strategy. The result extends the principle of “aiming in front of target” introduced by Gârleanu and Pedersen (2013) from a constant weight between current and future positions to a time-varying weight because the rebalancing performance is monitored only at discrete time points, but the rebalancing takes place continuously. Empirical findings and implications for the weekend effect and the intraday trading volume are also presented

Ketersediaan

Informasi Detail

Judul Seri

MANAGEMENT SCIENCE; Vol.69 No.4 April 2023

No. Panggil

-

Penerbit

: .,

Deskripsi Fisik

p. 2517-2535

Bahasa

English

ISBN/ISSN

-

Klasifikasi

NONE

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

-

Edisi

-

Subjek

MARKET CLOSURE
FRICTIONS
DAILY REBALANCING
LEVERAGED ETFS

Info Detail Spesifik

https://doi.org/10.1287/mnsc.2022.4407

Pernyataan Tanggungjawab

Min Dai, Steven Kou, H. Mete Soner, Chen Yang

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