Traditional Optimization Is Not Optimal forLeverage-Averse Investors
研究发现，传统均值-方差优化无法为厌恶杠杆的投资者找到最优组合，而均值-方差-杠杆优化模型通过平衡预期收益、波动风险和杠杆风险，能确定最佳杠杆水平，从而获得最高效用的投资组合。
Leverage entails a unique set of risks, such as margin calls, which can force investors to liquidate securities at adverse prices. Investors often seek to mitigate these risks by using a leverage constraint in conventional mean-variance portfolio optimization. Mean-variance optimization is unable to identify the portfolio offering the highest utility, however, because it provides the investor with little guidance as to where to set the leverage constraint. An alternative approach—the mean-variance-leverage optimization model—lets the leverage-averse investor determine the optimal leverage level (and thus the highest-utility portfolio) by balancing the portfolio’s expected return against the portfolio’s volatility risk and its leverage risk. <bold>TOPICS:</bold> <ext-link>Portfolio theory</ext-link>, <ext-link>volatility measures</ext-link>, <ext-link>statistical methods</ext-link>