.png){kind=icon}
Return
Leverage Aversion and Portfolio Optimality
.png){kind=icon}
PRE
AI
DOI：10.2469/faj.v68.n5.8.png)
.png){kind=icon}
Original request for help.png){kind=icon}
Share.png){kind=icon}
Save
Abstract
En 中文
Portfolio volatility is the only source of risk in mean-variance optimality, but it fails to capture all the risks faced by leveraged portfolios. These risks include the possibility of margin calls and forced liquidations at adverse prices and losses beyond the capital invested. To recognize these risks, the authors incorporated leverage aversion into the optimization process and examined the effects of volatility and leverage aversion on optimal long-short portfolios.
Keywords:
EQUITY PORTFOLIOS
AI Summary
Key information extracted from the uploaded paper, including a brief overview, abstract, background, key highlights, visual analysis, and future outlook.
Journal
F
IF:
2.2
Papers:
1.2K
Citations:
3.1K
Organization
No organization information available
Cited Papers
.png){kind=icon}
ShareSaveShareSaveShareSave
no more
no more