%0 Journal Article %A Bruce I. Jacobs %A Kenneth N. Levy %T Leverage Aversion, Efficient Frontiers,
and the Efficient Region %D 2013 %R 10.3905/jpm.2013.39.3.054 %J The Journal of Portfolio Management %P 54-64 %V 39 %N 3 %X 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 %U https://jpm.pm-research.com/content/iijpormgmt/39/3/54.full.pdf