Portfolio construction and crowding
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DOI: 10.1016/j.jempfin.2018.02.003
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Cited by:
- Marc van Kralingen & Diego Garlaschelli & Karolina Scholtus & Iman van Lelyveld, 2020.
"Crowded trades, market clustering, and price instability,"
Tinbergen Institute Discussion Papers
20-007/II, Tinbergen Institute.
- Marc van Kralingen & Diego Garlaschelli & Karolina Scholtus & Iman van Lelyveld, 2020. "Crowded trades, market clustering, and price instability," Papers 2002.03319, arXiv.org.
- Marc van Kralingen & Diego Garlaschelli & Karolina Scholtus & Iman van Lelyveld, 2020. "Crowded trades, market clustering, and price instability," Working Papers 668, DNB.
- Zhou, Liyun & Yang, Chunpeng, 2019. "Stochastic investor sentiment, crowdedness and deviation of asset prices from fundamentals," Economic Modelling, Elsevier, vol. 79(C), pages 130-140.
- Chincarini, Ludwig B. & Moneta, Fabio, 2021. "The challenges of oil investing: Contango and the financialization of commodities," Energy Economics, Elsevier, vol. 102(C).
- Chincarini, Ludwig, 2020. "Tracking spot oil: The elusive quest," Journal of Commodity Markets, Elsevier, vol. 17(C).
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More about this item
Keywords
Risk management; Crowding; Herding; Crowded spaces; Copycat trading; Quantitative equity portfolio management; Optimal portfolios;All these keywords.
JEL classification:
- G0 - Financial Economics - - General
- G01 - Financial Economics - - General - - - Financial Crises
- G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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