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 investments. Scenarios generation relies on algorithms that satisfy the global constraints imposed by the numbers of outstanding shares in the market. We consider fixed-diversification models and diversification-maximizing replicas too. We extensively analyze the interplay between portfolio diversification and differentiation, and how the outreach of exogenous shocks depends on these factors as well as on the type of shock and the size of the network with respect to the market. We find that real portfolios are poorly diversified but highly similar, that portfolio similarity correlates with systemic fragility and that rebalancing can come with an increased similarity depending on the initial network configuration. We show that a large diversification gain is achieved through rebalancing but, noteworthy, that makes the network vulnerable in front of unselective shocks. Also, while the network is riskier in the presence of targeted shocks, it is safer than its random counterparts when it is stressed by widespread price downturns.

中文翻译：

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投资组合多元化，差异化和控股网络的稳健性

投资组合持有网络说明了代理商及其资产之间的相互依存关系如何成为系统漏洞的源头。我们研究了一个现实世界的控股网络，并将其与从原始投资的随机化和再平衡中得出的各种备选方案进行了比较。场景生成依赖于满足市场上流通股数量所施加的全局约束的算法。我们也考虑固定多样化模型和最大化多样化的副本。我们广泛分析了投资组合多元化和差异化之间的相互作用，以及外在冲击的范围如何取决于这些因素以及冲击的类型和相对于市场的网络规模。我们发现实际投资组合的分散性很差，但高度相似，投资组合的相似性与系统的脆弱性相关，并且根据初始网络配置，重新平衡可能会增加相似性。我们显示，通过重新平衡可以实现较大的多元化收益，但值得注意的是，这会使网络在非选择性冲击面前脆弱。同样，尽管存在有针对性的冲击时网络风险更高，但在价格普遍下滑的压力下，网络比随机网络更为安全。