杠杆的极限
The Limits of Leverage
摘要：
当交易产生成比例的成本时，杠杆只能将资产的回报扩大到最大倍数，这对资产的波动性和流动性很敏感。在一个有一个安全资产和一个风险资产的模型中，有恒定的投资机会和成比例的成本，我们找到了在平均波动率下最大化长期回报的策略。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，甚至回报也会下降。保持夏普比率不变，较高的资产波动性通过较低的成本带来较高的回报。
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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
