PT  - JOURNAL ARTICLE
AU  - Bruce I. Jacobs
AU  - Kenneth N. Levy
TI  - Leverage Aversion, Efficient Frontiers,<br/>and the Efficient Region
AID  - 10.3905/jpm.2013.39.3.054
DP  - 2013 Apr 30
TA  - The Journal of Portfolio Management
PG  - 54--64
VI  - 39
IP  - 3
4099  - https://pm-research.com/content/39/3/54.short
4100  - https://pm-research.com/content/39/3/54.full
AB  - 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