Leverage Aversion, Efficient Frontiers,and the Efficient Region
在投资组合理论中引入投资者对杠杆的厌恶，提出均值方差杠杆有效前沿和有效区域，发现杠杆厌恶会显著影响投资者的资产组合选择。
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. <b>TOPICS:</b>Portfolio theory, volatility measures, statistical methods