A dynamic model for leveraged funds

Investment products have become a widely used asset class in both the derivatives market and the exchange-traded fund (ETF) market (see Edhec, 2009). With the recent financial turmoil, ETFs have become increasingly popular in comparison  with derivatives structured products, in particular long and short leveraged ETFs, which offer a different type of leverage strategy compared with certificates. In simple terms, leveraged certificates such as mini-futures typically offer a leverage effect in the

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