Investors may underdiversify their portfolios by overweighting securities in which they perceive an informational advantage or by underweighting securities to hedge risks outside the portfolio. We investigate underdiversification in institutional portfolio construction by examining the under/overweighting of industries in U.S. property–liability (PL) insurers’ equity portfolios. We find that PL insurers underweight both their own industry and highly correlated industries in their portfolios. This underweighting is larger for PL insurers exposed to higher underwriting risk. Although PL insurers have an informational advantage in investing in their peers, their underwriting risk drives them to underweight stocks in their industry.

中文翻译：

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投资组合选择：熟悉度、对冲和行业偏见

投资者可能会通过增持他们认为具有信息优势的证券或减持证券以对冲投资组合之外的风险，从而降低其投资组合的多元化。我们通过检查美国财产负债 (PL) 保险公司股权投资组合中行业的低配/高配来调查机构投资组合构建中的多元化不足。我们发现 PL 保险公司在其投资组合中同时减持自己的行业和高度相关的行业。对于承保风险较高的 PL 保险公司，这种减持幅度更大。尽管 PL 保险公司在投资同行方面具有信息优势，但其承保风险促使他们减持所在行业的股票。