英文标题：
《Lost in Diversification》
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作者：
Marco Bardoscia, Daniele d\'Arienzo, Matteo Marsili and Valerio Volpati
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最新提交年份：
2019
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英文摘要：
As financial instruments grow in complexity more and more information is neglected by risk optimization practices. This brings down a curtain of opacity on the origination of risk, that has been one of the main culprits in the 2007-2008 global financial crisis. We discuss how the loss of transparency may be quantified in bits, using information theoretic concepts. We find that {\\em i)} financial transformations imply large information losses, {\\em ii)} portfolios are more information sensitive than individual stocks only if fundamental analysis is sufficiently informative on the co-movement of assets, that {\\em iii)} securitisation, in the relevant range of parameters, yields assets that are less information sensitive than the original stocks and that {\\em iv)} when diversification (or securitisation) is at its best (i.e. when assets are uncorrelated) information losses are maximal. We also address the issue of whether pricing schemes can be introduced to deal with information losses. This is relevant for the transmission of incentives to gather information on the risk origination side. Within a simple mean variance scheme, we find that market incentives are not generally sufficient to make information harvesting sustainable.
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中文摘要：
随着金融工具日益复杂，越来越多的信息被风险优化实践所忽视。这给风险的起源蒙上了一层不透明的帷幕，而风险一直是2007-2008年全球金融危机的罪魁祸首之一。我们利用信息论的概念，讨论如何以比特数量化透明度的损失。我们发现{\\emi}金融转型意味着巨大的信息损失，{\\emii}投资组合比个股更具信息敏感性，只有在基本面分析对资产的共同流动有足够的信息，即{\\emiii}证券化，在相关参数范围内，与原始股票相比，收益率资产对信息的敏感性较低，且当多元化（或证券化）处于最佳状态时（即资产不相关时），信息损失最大。我们还讨论了是否可以引入定价方案来处理信息丢失的问题。这与传递激励措施以收集风险来源方面的信息有关。在一个简单的均值-方差方案中，我们发现市场激励通常不足以使信息获取可持续。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Economics 经济学
二级分类：Theoretical Economics 理论经济学
分类描述：Includes theoretical contributions to Contract Theory, Decision Theory, Game Theory, General Equilibrium, Growth, Learning and Evolution, Macroeconomics, Market and Mechanism Design, and Social Choice.
包括对契约理论、决策理论、博弈论、一般均衡、增长、学习与进化、宏观经济学、市场与机制设计、社会选择的理论贡献。
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一级分类：Physics 物理学
二级分类：Physics and Society 物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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