| 參考文獻 |
Applebaum, D. (2004). "Levy processes-from probability to finance and quantum groups." Notices of the AMS 51(11): 1336–1347.
Avellaneda, M. and S. Zhang (2009). "Path-dependence of Leveraged ETF returns." Courant Institute of Mathematical Sciences New York University, New York and Finance Concepts, New York.
Bera, A. K. and M. L. Higgins (1997). "ARCH and bilinearity as competing models for nonlinear dependence." Journal of Business & Economic Statistics 15(1): 43-50.
Bertrand, P. and J. Prigent "Leveraged ETFs and CPPI-type Strategy: Theory, Simulation and Empirical Study."
Bollerslev, T. (1986). "Generalized autoregressive conditional heteroskedasticity." Journal of econometrics 31(3): 307-327.
Bollerslev, T. (1987). "A conditionally heteroskedastic time series model for speculative prices and rates of return." The review of economics and statistics 69(3): 542-547.
Carver, A. B. (2009). "Do Leveraged and Inverse ETFs Converge to Zero?" Do 2009(1): 144-149.
Cooper, T. and D. D. Numerics "Alpha Generation and Risk Smoothing using Managed Volatility."
D Bernoulli, ‘Specimen Theoriae Novae de Mensura Sortis’ (Exposition of a New Theory on the Measurement of Risk), Commentarii academiae scientiarum imperialis Petropolitanae, vol.5, 1738, pp.175-192, trans. L. Sommer, 1954. Econometrica, vol.22, 1954, pp.23-36.
E O Thorp, (2006)"The kelly criterion in blackjack sports betting, and the stock market." Handbook of asset and liability management: Theory and methodology: 385. Ederington, L. H. and W. Guan (2000). Measuring implied volatility: Is an average better, Working paper, University of Oklahoma.
Engle, R. F. (1982). "Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation." Econometrica: Journal of the Econometric Society: 987-1007.
Engle III, R. F. and V. Ng (1991). Measuring and testing the impact of news on volatility, National Bureau of Economic Research Cambridge, Mass., USA.
Figlewski, S. (1997). "Forecasting volatility." Financial Markets, Institutions & Instruments 6(1): 1-88.
Giese, G. "On the Performance of Leveraged and Optimally Leveraged Investment Funds."
Glosten, L. R., R. Jagannathan, et al. (1993). "On the relation between the expected value and the volatility of the nominal excess return on stocks." The Journal of Finance 48(5): 1779-1801.
Haugh, M. B. "A Note on Constant Proportion Trading Strategies and Leveraged ETFs."
J L Kelly Jr, ‘A new interpretation of information rate’, Bell System Technical Journal, vol.35, 1956, pp.917-926.
Lauricella, T. (2009). "ETF Math Lesson: Leverage Can Produce Unexpected Returns." Wall Street Journal.
Madan, D. B., P. P. Carr, et al. (1998). "The variance gamma process and option pricing." European Finance Review 2(1): 79.
Nelson, D. B. (1991). "Conditional heteroskedasticity in asset returns: A new approach." Econometrica 59(2): 347-370.
P A Samuelson, ‘The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling’, Proceedings of the National Academy of Sciences of the United States of America, vol.68, 1971, pp.2493-2496.
Poon, S. H. and C. W. J. Granger (2003). "Forecasting volatility in financial markets: A review." Journal of Economic Literature 41(2): 478-539.
R Vince, The New Money Management, John Wiley & Sons, New York, 1995.
R Vince, The Leverage Space Trading Model, John Wiley & Sons, New York, 2009.
R Vince, The Mathematics of Money Management, John Wiley & Sons, New York 1992, pp.289.
R Vince, The New Money Management, John Wiley & Sons, New York, 1995.
Trainor, W. J. and E. Baryla (2008). "Leveraged ETFs: A Risky Double that doesn’t multiply by Two." Journal of Financial Planning 21(5): 48-55.
Trainor Jr, W. J. "Monthly vs Daily Leveraged Funds." |
