Dept. of Economics and Business, Università degli Studi di Sassari, Sassari, Italy.
IMT Institute for Advanced Studies, Lucca, Italy.
PLoS One. 2019 May 23;14(5):e0217141. doi: 10.1371/journal.pone.0217141. eCollection 2019.
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 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 study the diversification, as understood in modern portfolio theory, and the 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 benchmark models of random allocation of investments. This indicates the existence of strong correlations between fund investment strategies. We exploit a deliberately simplified model of shock propagation to identify a systemic risk component stemming from the similarity of portfolios. The network is still partially vulnerable after the crisis because of this effect, despite the increase in the diversification of multi asset portfolios. Diversification and similarity should be taken into account jointly to properly assess systemic risk.
网络理论最近被证明在量化金融系统的许多特性方面非常有用。投资组合结构的分析是一个主要的应用，因为它们最终的相关性和重叠会影响单个投资者的实际风险。我们研究了美国共同基金投资组合及其资产的二分网络。我们跟踪了它在全球金融危机期间的演变，并研究了现代投资组合理论中所理解的多样化，以及不同基金投资的相似性。我们表明，在危机期间，投资组合平均而言变得更加多样化，相似性降低。然而，我们也发现，大量的重叠比基准的随机投资分配模型所预期的要高得多。这表明基金投资策略之间存在很强的相关性。我们利用一个故意简化的冲击传播模型来识别源自投资组合相似性的系统性风险成分。尽管多资产投资组合的多样化程度有所提高，但由于这种效应，网络在危机后仍然存在部分脆弱性。为了正确评估系统性风险，应该综合考虑多样化和相似性。
