Hedge Ratios for short and leveraged ETFs

Hedge Ratios for short and leveraged ETFs

Exchange Traded Funds (ETFs) exist for stock-, bond- and commodity markets. In most cases the underlying of an ETF is an index. Fund management today uses the active and passive way to construct a portfolio. ETFs can be used for passive portfolio management. Then ETFs with positive leverage factors...

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Bibliographic Details
Main Author: Leo Schubert
Format: Article
Language:English
Published: Colegio de Economistas de A Coruña 2011-06-01
Series:Atlantic Review of Economics
Subjects:
lio Optimization
Hedging
Cross Hedge
Insurance and Immunization of portfolios
short leveraged Exchange Traded Funds (ETFs)
Mean–Variance
Target-Shortfall-Probability
Monte Carlo Simulation
Online Access:http://www.economistascoruna.org/eawp/eawp.asp?qsa=ES&qsb=1&qsc=254&qsd=255

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http://www.economistascoruna.org/eawp/eawp.asp?qsa=ES&qsb=1&qsc=254&qsd=255

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