Leveraged ETFs rebalancing impact

[floyd2]

Hello everyone!

I'm currently studying a couple of papers on Leveraged ETFs rebalancing impact. However, i'm stuck with demonstrating 3 formulas, the 7th, 8th and 9th of this enclosed papaer. No proof is provided in the paper. Could you please help me with it?

If you have any other paper on the subject that may be interesting, could you please give the reference?

Thank you so much.

 

[floyd2]

Hello Everyone,

Just wanted to respond to my own question after almost four months. Actually, if you're interested in Leveraged ETFs, don't look to papers like theses, just complicated stuff with no result in the end. That's only a CPPI thing, you can check that from works of Leland, these are never published, but you can find out on the net other works on CPPI.

There's another thing, shorting a Leveraged ETF doesn't make sense really, you'll never find someone to short you the fund!!

Thanks,