Portfolio construction and crowding

Salvatore Bruno, Ludwig B. Chincarini and Frank Ohara

Journal of Empirical Finance, 2018, vol. 47, issue C, 190-206

Abstract: We use industry data to investigate how the crowding of an equity space develops due to the portfolio construction process in the equity asset management sector. We find crowding can be reduced by slightly altering the risk management process. We also find that crowding in the financial system could be lower if the distribution of risk model usage amongst portfolio managers was more diversified.

Keywords: Risk management; Crowding; Herding; Crowded spaces; Copycat trading; Quantitative equity portfolio management; Optimal portfolios (search for similar items in EconPapers)
JEL-codes: G0 G01 G02 G11 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:47:y:2018:i:c:p:190-206

DOI: 10.1016/j.jempfin.2018.02.003

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