Research
Leverage aversion, efficient frontiers and the efficient region
This paper suggests a new specification for leverage aversion, which may better capture the unique risks of leverage. The authors also introduce mean-variance-leverage efficient frontiers, comparing them with conventional mean-variance efficient frontiers. They conclude that leverage aversion can have a large impact on portfolio choice. Leverage aversion, efficient frontiers and the efficient region
STAFF WRITERNovember 7, 2012