Among leveraged funds, leveraged ETFs are designed to achieve multiple exposure (e.g., twice) to some financial index returns, on a daily basis. In this paper, we derive an analytical expression for the value process of a leveraged ETF. We analyze it as a convex constant allocation portfolio...

This paper examines the equilibrium of portfolio under insurance constraints on the terminal wealth. We consider a single period economy in which agents search to maximize the expected utilities of their terminal wealths. Both partial and general optimal financial equilibria are determined and...

Performance measures such as the Sharpe ratio and the information ratio are estimation subject to estimation error. Lo (2002) derives the explicit expressions for the statistical distribution of the Sharpe ratio. Bertrand and Protopopescu (2007) have extended his work to the bivariate case which...

Mixed-asset portfolio optimization consists in determining the best allocation among standard financial assets such as money market accounts, bonds, stocks and real estate asset as well. For this latter kind of asset, computing the optimal weight can be challenging. First, there is the need to...

Today, the use of a benchmark portfolio is common practice in the financial management industry. This setup allows the investor to evaluate the added value in line with the risks undertaken. But the relevant concept of risk is relative risk as defined by tracking-error volatility.The problem of...

This paper examines some properties of optimal portfolio positioning that are linked with the risk aversion and the prudence of the investor. It introduces the ratio of the degree of absolute prudence on the absolute risk aversion. This one allows the analysis of the degree of...

This paper examines wether risk attribution process is consistent with portfolio optimizations under tracking-error constraints. Since Mina (2003), Bertrand (2005) and Menchero and Hu (2006), risk attribution has been widely used in the performance attribution process.This article presents an...

This paper examines whether the risk-adjusted performance attribution process is consistent with portfolio optimization under tracking-error constraints. Since Mina (2003), Bertrand (2005) and Menchero and Hu (2006), risk attribution has been widely used in the performance attribution...