Portfolio diversification, differentiation and the robustness of holdings networks
Abstract Networks of portfolio holdings exemplify how interdependence both between the agents and their assets can be a source of systemic vulnerability. We study a real-world holdings network and compare it with various alternative scenarios from randomization and rebalancing of the original invest...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2020-07-01
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| Series: | Applied Network Science |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1007/s41109-020-00278-y |