投资组合集中度与特定股票风险

IF 1.1 4区经济学 Q3 BUSINESS, FINANCE

Journal of Portfolio Management Pub Date : 2023-02-04 DOI:10.3905/jpm.2023.1.467

M. Shammaa, Stoyan V. Stoyanov

{"title":"投资组合集中度与特定股票风险","authors":"M. Shammaa, Stoyan V. Stoyanov","doi":"10.3905/jpm.2023.1.467","DOIUrl":null,"url":null,"abstract":"In this article, the authors establish a connection between the effective number of portfolio constituents and the ex ante ratio of specific to total portfolio risk. Portfolios with a higher effective number of constituents have lower specific risk, and the decay follows a power law. An easy rule of thumb is that doubling the effective number of constituents approximately halves the proportion of stock-specific risk. The authors investigate the proportion of specific risk of the S&P 500 Index and find that in the period from 2002–2022 the S&P 500 portfolio had a proportion of specific risk below the expected range, except for the post–COVID-19 period, and the ratio was never abnormally high.","PeriodicalId":53670,"journal":{"name":"Journal of Portfolio Management","volume":"49 1","pages":"70 - 81"},"PeriodicalIF":1.1000,"publicationDate":"2023-02-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Portfolio Concentration and Stock-Specific Risk\",\"authors\":\"M. Shammaa, Stoyan V. Stoyanov\",\"doi\":\"10.3905/jpm.2023.1.467\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this article, the authors establish a connection between the effective number of portfolio constituents and the ex ante ratio of specific to total portfolio risk. Portfolios with a higher effective number of constituents have lower specific risk, and the decay follows a power law. An easy rule of thumb is that doubling the effective number of constituents approximately halves the proportion of stock-specific risk. The authors investigate the proportion of specific risk of the S&P 500 Index and find that in the period from 2002–2022 the S&P 500 portfolio had a proportion of specific risk below the expected range, except for the post–COVID-19 period, and the ratio was never abnormally high.\",\"PeriodicalId\":53670,\"journal\":{\"name\":\"Journal of Portfolio Management\",\"volume\":\"49 1\",\"pages\":\"70 - 81\"},\"PeriodicalIF\":1.1000,\"publicationDate\":\"2023-02-04\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Portfolio Management\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.3905/jpm.2023.1.467\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Portfolio Management","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.3905/jpm.2023.1.467","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

在本文中，作者建立了投资组合成分的有效数量与投资组合具体风险与总风险的事前比率之间的联系。具有较高有效成分数量的投资组合具有较低的特定风险，并且衰减遵循幂律。一个简单的经验法则是，有效成分数量增加一倍，股票特定风险的比例大约会减半。作者调查了标准普尔500指数的特定风险比例，发现在2002年至2022年期间，标准普尔500指数投资组合的特定风险比例低于预期范围，除了covid -19后时期外，该比例从未异常高过。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Portfolio Concentration and Stock-Specific Risk

In this article, the authors establish a connection between the effective number of portfolio constituents and the ex ante ratio of specific to total portfolio risk. Portfolios with a higher effective number of constituents have lower specific risk, and the decay follows a power law. An easy rule of thumb is that doubling the effective number of constituents approximately halves the proportion of stock-specific risk. The authors investigate the proportion of specific risk of the S&P 500 Index and find that in the period from 2002–2022 the S&P 500 portfolio had a proportion of specific risk below the expected range, except for the post–COVID-19 period, and the ratio was never abnormally high.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Journal of Portfolio Management Economics, Econometrics and Finance-Finance

CiteScore

2.20

自引率

28.60%

发文量

113

期刊介绍： Founded by Peter Bernstein in 1974, The Journal of Portfolio Management (JPM) is the definitive source of thought-provoking analysis and practical techniques in institutional investing. It offers cutting-edge research on asset allocation, performance measurement, market trends, risk management, portfolio optimization, and more. Each quarterly issue of JPM features articles by the most renowned researchers and practitioners—including Nobel laureates—whose works define modern portfolio theory.