Leveraged, Inverse, and Specialty ETFs
A special issue of International Journal of Financial Studies (ISSN 2227-7072).
Deadline for manuscript submissions: closed (25 September 2020) | Viewed by 396
Special Issue Editor
Interests: quantitative finance; financial engineering; decision theory and robust procedures; financial intermediation; financial econometrics; algorithmic trading; financial machine learning
Special Issue Information
Dear Colleagues,
The advent of leveraged, inverse, and specialty ETFs that cover all aspects of the corporate capital structure (and indeed, most of the investable universe in the United States) has opened up exciting new possibilities for asymptotic capital growth, online portfolio optimization, and risk management by institutional and individual investors, as well as high-frequency traders and market makers. With the aid of these new products, sophisticated market participants can achieve superior performance metrics through the proper gearing of balanced, risk-parity, target volatility, or other types of high-Sharpe trading strategies and investment portfolios. Leveraged and specialty exchange-traded products also create opportunities for intrepid individuals and families to bear additional risk in their tax-advantaged retirement accounts—accounts that may lack access to more traditional sources of leverage, such as margin lending or equity options. Accordingly, this Special Issue will present a collection of original research papers that study leveraged, inverse, and specialty ETFs, their use by all types of market participants, and the general effects that these products exert on the broader financial markets.
Suitable topics include but are not limited to the following: leveraged ETFs, inverse ETFs, specialty ETFs, commodity ETFs, treasury ETFs, bond ETFs, optimal gearing ratios, algorithmic trading, robust operation of leveraged ETFs, tracking error, constant-rebalanced portfolios of leveraged ETFs, risk analysis, portfolio optimization, expense ratios, risk parity funds, balanced funds, simulation of leveraged ETFs, tax efficiency of leveraged ETFs, volatility decay, rebalancing premium, and cost of leverage.
Dr. Alexander Garivaltis
Guest Editor
Manuscript Submission Information
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Keywords
- Leveraged ETFs
- Inverse ETFs
- Specialty ETFs
- Optimal gearing ratio
- Tracking error
- Volatility decay
- Cost of leverage
- Rebalancing premium
- Treasury ETFs
- Bond ETFs
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