Optimal Gearing
研究了投资组合中杠杆率设置对效率的影响，发现杠杆率与风险不匹配会导致效率损失，且杠杆不足比杠杆过度成本更高。
Investors have increasingly understood the importance of engineering portfolios to represent their views effectively, and the transfer coefficient provides an explicit measure of that portfolio efficiency. The transfer coefficient has shown that long-short portfolios reflect manager views more accurately than long-only portfolios. Gearing is another important dimension on which to consider efficiency. In products that use leverage, investors typically set gearing independent of risk, despite the high cost of risk and gearing incompatibility. This efficiency loss is asymmetric; undergearing is ultimately more costly than overgearing. Overgeared portfolios tend to hold few assets at zero weight, while undergeared portfolios hold many assets at zero weight. This analysis is an example of a more general issue—setting compatible portfolio parameters, including risk, gearing, and shorting. <bold>TOPICS:</bold> <ext-link>Portfolio management/multi-asset allocation</ext-link>, <ext-link>portfolio construction</ext-link>, <ext-link>statistical methods</ext-link>