英文标题：
《The Network of U.S. Mutual Fund Investments: Diversification, Similarity
and Fragility throughout the Global Financial Crisis》
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作者：
Danilo Delpini, Stefano Battiston, Guido Caldarelli, Massimo Riccaboni
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最新提交年份：
2018
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英文摘要：
Network theory proved recently to be useful in the quantification of many properties of financial systems. The analysis of the structure of investment portfolios is a major application since their eventual correlation and overlap impact the actual risk diversification by individual investors. We investigate the bipartite network of US mutual fund portfolios and their assets. We follow its evolution during the Global Financial Crisis and analyse the interplay between diversification, as understood in classical portfolio theory, and similarity of the investments of different funds. We show that, on average, portfolios have become more diversified and less similar during the crisis. However, we also find that large overlap is far more likely than expected from models of random allocation of investments. This indicates the existence of strong correlations between fund portfolio strategies. We introduce a simplified model of propagation of financial shocks, that we exploit to show that a systemic risk component origins from the similarity of portfolios. The network is still vulnerable after crisis because of this effect, despite the increase in the diversification of portfolios. Our results indicate that diversification may even increase systemic risk when funds diversify in the same way. Diversification and similarity can play antagonistic roles and the trade-off between the two should be taken into account to properly assess systemic risk.
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中文摘要：
最近证明，网络理论在量化金融系统的许多属性方面很有用。对投资组合结构的分析是一个主要应用，因为它们的最终相关性和重叠会影响个人投资者的实际风险分散。我们研究了美国共同基金投资组合及其资产的二部网络。我们跟踪其在全球金融危机期间的演变，并分析古典投资组合理论所理解的多元化与不同基金投资的相似性之间的相互作用。我们表明，平均而言，在危机期间，投资组合变得更加多样化，相似性降低。然而，我们还发现，大重叠的可能性远远高于随机投资分配模型的预期。这表明基金投资组合策略之间存在着很强的相关性。我们引入了一个金融冲击传播的简化模型，我们利用该模型表明，系统性风险成分源自投资组合的相似性。尽管投资组合的多样化有所增加，但由于这种影响，网络在危机后仍然脆弱。我们的结果表明，当基金以同样的方式进行多元化时，多元化甚至可能增加系统性风险。多样化和相似性可以起到对立的作用，应考虑两者之间的权衡，以正确评估系统性风险。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Statistics 统计学
二级分类：Applications 应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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