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題名:槓桿型與反向型ETF追蹤績效分析與模擬
書刊名:期貨與選擇權學刊
作者:張森林徐宇薇
作者(外文):Chang, San-linHsu, Yu-wei
出版日期:2017
卷期:10:3
頁次:頁85-165
主題關鍵詞:槓桿型ETF反向型ETF追蹤績效交叉避險模擬投資組合Leveraged ETFInverse ETFTracking performanceCross-hedgingSimulation portfolios
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:20
期刊論文
1.Cheng, Minder、Madhavan, Ananth(2009)。The Dynamics of Leveraged and Inverse Exchange-Traded Funds。Journal of Investment Management,7(4),43-62。  new window
2.Tang, H.、Xu, X. E.(2013)。Solving the Return Deviation Conundrum of Leveraged Exchange-Traded Funds。Journal of Financial and Quantitative Analysis,48(1),309-342。  new window
3.Avellaneda, Marco、Zhang, Stanley J.(2010)。Path-Dependence of Leveraged ETF Returns。SIAM Journal on Financial Mathematics,1(1),586-603。  new window
4.Trainor, William J. Jr.(2010)。Do Leveraged ETFs Increase Volatility。Technology and Investment,1(3),215-220。  new window
5.Bansal, Vipul K.、Marshall, John F.(2015)。A Tracking Error Approach to Leveraged ETFs: Are They Really That Bad?。Global Finance Journal,26,47-63。  new window
6.陳其財(2014)。開放投信事業募集槓桿型及反向型ETF。證券暨期貨月刊,32(12),5-12。  延伸查詢new window
7.Carver, A. B.(2009)。Do Leveraged and Inverse ETFs Converge to Zero?。ETFs and Indexing,2009(1),144-149。  new window
8.Loviscek, A.、Tang, H.、Xu, X. E.(2014)。Do leveraged exchangetraded products deliver their stated multiples?。Journal of Banking & Finance,43(6),29-47。  new window
9.Trainor, W. J. Jr.、Baryla, E. A. Jr.(2008)。Leveraged ETFs: A Risky Double that Doesn't Multiply by Two。Journal of Financial Planning,21(5),48-55。  new window
10.Charupat, N.、Miu, P.(2011)。The Pricing and Performance of Leveraged Exchange-traded Funds。Journal of Banking and Finance,35(4),966-977。  new window
學位論文
1.蘇亭丰(2015)。槓桿型與反向型ETF長短期追蹤績效之研究(碩士論文)。國立臺灣大學,臺北。  延伸查詢new window
圖書
1.證交所(2016)。大數據統計資料(股票、權證、ETF)。  延伸查詢new window
單篇論文
1.Lu, Lei,Wang, Jun,Zhang, Ge(20090801)。Long Term Performance of Leveraged ETFs,https://ssrn.com/abstract=1344133,(1344133)。 。  new window
 
 
 
 
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