The Department of Applied Mathematics is happy to announce that Professor Tim Leung has been recognized with an Emerald Literati Network Award for Excellence – Outstanding Paper for his paper titled, “The Golden Target: Analyzing the tracking performance of leveraged gold ETFs.” Leung’s work formulates and solves a constrained quadratic minimization problem to construct static replicating portfolios of both leveraged and unleveraged benchmarks in gold; a dynamic constant leveraged portfolio using gold futures is used to track the path of the leveraged gold benchmark.
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