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摘要翻译：
地域多样化是降低住房、抵押贷款和抵押贷款相关衍生品投资者和保险公司风险的基础。为了描述多样化潜力，我们提供了美国大都市住房市场之间的整合、空间相关性和传染的估计。结果显示，在21世纪初的十年里，美国市场之间的一体化程度很高，而且越来越高，尤其是在加州。我们应用积分结果来评估另类住房投资组合的风险。投资组合模拟表明，随着大都市住房市场一体化的估计增加，多样化潜力减少，风险增加。研究结果提供了新的见解，关于在2000年代后期，地理上不同的MBS投资同步不表现。
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英文标题：
《Can Metropolitan Housing Risk be Diversified? A Cautionary Tale from the
Recent Boom and Bust》
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作者：
John Cotter, Stuart Gabriel and Richard Roll
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最新提交年份：
2012
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
Geographic diversification is fundamental to risk mitigation among investors and insurers of housing, mortgages, and mortgage-related derivatives. To characterize diversification potential, we provide estimates of integration, spatial correlation, and contagion among US metropolitan housing markets. Results reveal a high and increasing level of integration among US markets over the decade of the 2000s, especially in California. We apply integration results to assess the risk of alternative housing investment portfolios. Portfolio simulation indicates reduced diversification potential and increased risk in the wake of estimated increases in metropolitan housing market integration. Research findings provide new insights regarding the synchronous non-performance of geographically-disparate MBS investments during the late 2000s.
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PDF链接：
https://arxiv.org/pdf/1208.0371
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