> This is false. In order to maintain a constant amount of leverage, you need to buy and sell securities if your leverage isn't unity. With increasing leverage,

> This is false. In order to maintain a constant amount of leverage, you need to buy and sell securities if your leverage isn't unity. With increasing leverage, as security prices increase, you need to buy securities as your position earns a better return than the underlying. Conversely, you need to sell securities as prices fall. Together, this reduces your overall return via volatility drag. Ya sure that's true if you want to maintain constant leverage, there are tradeoffs there. > The Kelly Criterion has the math for the absolute max return you can get via levering up assets. Not exactly. The Kelly Criterion is the maximum that you should lever, over all the probability-weighted paths the portfolio will take to maximize log(wealth). However, nobody actually uses full Kelly leverage, because of estimation/fit error. One third or so of Kelly leverage is more common.