Μακροπρόθεσμος ρυθμός ανάπτυξης αναμενόμενης ωφελιμότητας για μοχλευμένα χρηματιστηριακά αμοιβαία κεφάλαια μέσω προσέγγισης εξόρυξης martingale
Expected utility and long-term growth rate for leveraged exchanged-traded fund via a martingale extraction approach
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Keywords
Mοχλευμένα αμοιβαία κεφαλαία ; ETF ; Martingale ; ΕπιτόκιαAbstract
This paper studies the long-term growth rate of expected utility from holding a leveraged exchanged-traded fund (LETF), which is a constant proportion portfolio of reference assets. Working with the power utility function, we develop an analytical approach that employs martingale extraction and involves finding the eigenpair associated with the infinitesimal generator of a Markovian time-homogeneous diffusion. We derive explicitly the long-term growth rates under a number of models for the reference asset, including the geometric Brownian motion model, GARCH model, inverse GARCH model, extended CIR model, 3/2 model, quadratic model, as well as Heston and 3/2 stochastic volatility models. We also investigate the impact of stochastic interest rate such as the Vasicek model and the inverse GARCH short rate model. We determine the optimal leverage ratio for the long-term investor and examine the effects of model parameters. Finally, we provide some conclusions as well as two useful applications.
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διαχείριση ΚινδύνωνDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
119Language
GreekCollections
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα