Elements of information theory
Elements of information theory
The Minimum Variance Hedge Ratio Under Stochastic Interest Rates
Management Science
Evaluating Portfolio Policies: A Duality Approach
Operations Research
Path-Dependence of Leveraged ETF Returns
SIAM Journal on Financial Mathematics
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We consider constant proportion (CP) trading strategies when there are multiple underlying securities and use a recently derived expression for the terminal wealth of a CP strategy to address two issues. First, we characterize the performance of a CP strategy relative to the performance of the corresponding buy-and-hold strategy. We then explain the performance of leveraged ETFs which have been criticized for not performing as expected, particularly during the financial crisis of 2008.