Constant leverage certificates: dynamics, performance, and risk-return characteristics
This paper analyzes a relatively new investment product named as constant leverage certificate (CLC), which is designed to provide a multiple of the return of its underlying asset on a daily basis. Based on the literature on leveraged ETFs, which have a similar design, it is well-known that such a s...
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| Format: | Article |
| Language: | English |
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AIMS Press
2020-12-01
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| Series: | Quantitative Finance and Economics |
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| Online Access: | https://www.aimspress.com/article/10.3934/QFE.2020032?viewType=HTML |