RT Journal Article SR Electronic T1 Dynamic Leverage JF The Journal of Portfolio Management FD Institutional Investor Journals SP 25 OP 39 DO 10.3905/jpm.2004.443317 VO 31 IS 1 A1 Clifford De Souza A1 Mikhail Smirnov YR 2004 UL https://pm-research.com/content/31/1/25.abstract AB Dynamic leverage as defined here depends on the level of hedge fund volatility, time horizon, and the difference between the fund's net asset value and its critical liquidation level. The critical liquidation level is the level of net asset value loss from which the fund manager could not recover and the fund would need to be liquidated to meet margin calls and redemptions. Dynamic leverage may be formalized very generally as a barrier option. At some intermediate critical level (above the liquidation level), efforts to reduce risk have little influence on the chance the fund will hit the critical liquidation level. A constant dynamic leverage portfolio insurance modifies the more traditional classic portfolio insurance.