Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 31

 Theory shows that it is more efficient to raise a portfolio's expected return by employing leverage rather than concentrating the portfolio in higher-expected-return asset classes.

 The assumptions that support this theoretical result do not always hold in practice.

 If we collectively allow for asymmetric preferences, nonelliptical returns, and realistic borrowing costs, it may be more efficient to raise expected return by concentrating a portfolio in higher-expected-return asset classes than by using leverage.

 However, if we also assume that an investor has even a modest amount of skill in predicting asset class returns, then leverage is better than con- centration even in the presence of asymmetric preferences, nonelliptical distributions, and realistic borrowing costs.