Leonardo Dicaprio ''gave into indulgence'' shooting 'The Wolf of Wall Street'.

The 39-year-old actor stars as Jordan Belfort - a real-like stockbroker who after making millions develops an appetite for cocaine and wild sex - in the new Martin Scorsese-directed film and Leonardo admits he lost himself in the character to give the best performance possible.

He said: ''I gave into every possible indulgence on set and I only thought about myself. When you play a character like that, you can just try to be as authentic to that world as possible.

''This is a very hedonistic time [Jordan] had on Wall Street in the late' 80s, 'early 90s ... he gave into every possible temptation that he could [and] became conceited by greed and power and lost his way.''

While the film has been criticised for glamorising drugs, alcohol and excess, Leonardo insists the film - and Jordan's book upon which it is based - is ultimately a ''cautionary tale''.

Speaking on the red carpet at the UK premiere of 'The Wolf of Wall Street' in Leicester Square in London on Thursday night (09.01.14), he explained: ''The truth is that Jordan Belfort wrote this as a cautionary tale. He's a much different person now. Since then he's done seminars and talked to groups about how you can take the wrong paths.

''What I appreciate about my communication with him was that he was very honest and forthright about everything he did wrong and most of the time, he would tell me that it was even worse and his intentions were even worse. When you're dealing with somebody who is that forthright, it makes for a more honest portrayal of this world and these people.''

Leonardo was joined at the premiere by his co-stars Margot Robbie and Jonah Hill at the premiere.