no code implementations • 3 Oct 2023 • Tim Leung, Hyungbin Park, Heejun Yeo
This paper analyzes the robust long-term growth rate of expected utility and expected return from holding a leveraged exchange-traded fund (LETF).
no code implementations • 1 Dec 2022 • Hyungbin Park, Heejun Yeo
We show that the dynamic optimal portfolio of this utility maximization consists of m+3 portfolios: the safe asset, the myopic portfolio, the m time-independent portfolios, and the intertemporal portfolio.
