英文标题：
《The Limits of Leverage》
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作者：
Paolo Guasoni, Eberhard Mayerhofer
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最新提交年份：
2017
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英文摘要：
When trading incurs proportional costs, leverage can scale an asset\'s return only up to a maximum multiple, which is sensitive to its volatility and liquidity. In a model with one safe and one risky asset, with constant investment opportunities and proportional costs, we find strategies that maximize long term returns given average volatility. As leverage increases, rising rebalancing costs imply declining Sharpe ratios. Beyond a critical level, even returns decline. Holding the Sharpe ratio constant, higher asset volatility leads to superior returns through lower costs.
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中文摘要：
当交易产生成比例的成本时，杠杆只能将资产的回报调整到最大倍数，这对其波动性和流动性非常敏感。在一个有一个安全资产和一个风险资产的模型中，在投资机会和比例成本不变的情况下，我们找到了在平均波动率下实现长期收益最大化的策略。随着杠杆率的增加，再平衡成本的上升意味着夏普比率的下降。超过临界水平，甚至回报率也会下降。保持夏普比率不变，资产波动性越高，成本越低，回报越高。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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