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- W3140009064 abstract "We study the impact of liquidity in optimal portfolio choice under leveraging to improve risk-adjusted and absolute returns. We consider a quasi-elastic market with continuous trading where temporary liquidity costs are sufficiently large relative to permanent impact. We show analytically that the Sharpe-maximizing unlevered portfolio is no longer a tangency portfolio. As target mean increases, required portfolio-leverage increases at an increasing-rate, while Sharpe-Leverage frontiers are progressively-dominated. Moreover, security-market relationships are no-longer linear and the usual proportionate-leveraging is not an optimal strategy. We develop insights for choosing return targets for leverage-constrained investors, and provide computational analyses to highlight the analytical findings." @default.
- W3140009064 created "2021-04-13" @default.
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- W3140009064 date "2020-01-01" @default.
- W3140009064 modified "2023-09-23" @default.
- W3140009064 title "Theory of Leveraged Portfolio Selection Under Liquidity Risk" @default.
- W3140009064 cites W2093362178 @default.
- W3140009064 doi "https://doi.org/10.2139/ssrn.3730627" @default.
- W3140009064 hasPublicationYear "2020" @default.
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