TY - JOUR T1 - Leverage Aversion, Efficient Frontiers,<br/>and the Efficient Region JF - The Journal of Portfolio Management SP - 54 LP - 64 DO - 10.3905/jpm.2013.39.3.054 VL - 39 IS - 3 AU - Bruce I. Jacobs AU - Kenneth N. Levy Y1 - 2013/04/30 UR - https://pm-research.com/content/39/3/54.abstract N2 - 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 ER -