Optimal leverage ratio estimate of various models for leveraged ETFs to exceed a target : probability estimates of large deviations
Nian Yao
| Year of publication: |
June 2018
|
|---|---|
| Authors: | Yao, Nian |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 5.2018, 2, p. 1-37
|
| Subject: | Large deviation principle | leveraged exchanged-traded fund | optimal leverage ratio | Kapitalstruktur | Capital structure | Portfolio-Management | Portfolio selection | Risiko | Risk | Wahrscheinlichkeitsrechnung | Probability theory | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786318500160 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011923005