Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/239010
Authors: 
Krkoska, Eduard
Schenk-Hoppé, Klaus Reiner
Year of Publication: 
2019
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 12 [Year:] 2019 [Issue:] 1 [Pages:] 1-14
Publisher: 
MDPI, Basel
Abstract: 
We highlight herding of investors as one major risk factor that is typically ignored in statistical approaches to portfolio modelling and risk management. Our survey focuses on smart-beta investing where such methods and investor herding seem particularly relevant but its negative effects have not yet come to the fore. We point out promising and novel approaches of modelling herding risk which merit empirical analysis. This financial economists' perspective supplements the vast statistical exploration of implementing factor strategies.
Subjects: 
herding
factor investing
risk
JEL: 
G12
G14
G40
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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