Leverage Aversion, Efficient Frontiers,and the Efficient Region
Year: 2013
Type: article
Abstract: This article proposes to augment portfolio theory and mean-variance optimization to incorporate investors’ aversion to leverage. The authors suggest a specification for leverage aversion that captures the unique risks of leverage. They also introduce mean-variance leverage-efficient frontiers, compare them with conventional mean-variance-efficient frontiers, and develop a mean-variance leverage-efficient region. Their analysis shows that leverage aversion can have a large effect on an investor’s portfolio choice. TOPICS:Portfolio theory, volatility measures, statistical methods
Authors: Bruce I. Jacobs, Kenneth N. Levy
Institution: Jacobs Levy Equity Management
Language: English
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W3121754832