From: Portfolio diversification, differentiation and the robustness of holdings networks
Network | c | f | hincr | Ediff | Merr(USD) | perr(USD) | herr |
---|---|---|---|---|---|---|---|
Hor,b | 2 | 1.13 | 0 | 0 | 4.6·10−4 | ||
Hor,b | 10 | 1.34 | 0 | 4.9·10−4 | 6.8·10−4 | ||
Hor,b | 100 | 1.36 | 0 | 4.9·10−4 | 6.4·10−4 | ||
H1 | 2 | 0.83 | 4.9·10−4 | 6.1·10−5 | 7.3·10−15 | ||
H1 | 10 | 0.86 | 0 | 1.5·10−4 | 1.1·10−14 | ||
H1 | 100 | 0.89 | 0 | 1.5·10−4 | 7.5·10−15 | ||
H1,b | 2 | 0.72 | 0.83 | 0 | 2.1·10−4 | ||
H1,b | 10 | 1.05 | 0.86 | 0 | 4.3·10−4 | ||
H1,b | 100 | 1.22 | 0.89 | 4.9 ·10−4 | 6.3·10−4 | ||
H2 | 2 | 1 | 0.68 | 0 | 1.1·10−4 | 7.9·10−15 | |
H2 | 2 | 10 | 0.74 | 0 | 1.2·10−4 | 7.2·10−15 | |
H2,b | 2 | 1 | 1.15 | 0.68 | 0 | 5.0·10−4 | |
H2,b | 2 | 10 | 1.18 | 0.74 | 4.9·10−4 | 3.3·10−4 | |
H2 | 10 | 1 | 0.69 | 0 | 7.6·10−5 | 7.5·10−15 | |
H2 | 10 | 10 | 0.74 | 0 | 4.6·10−5 | 9.4·10−15 | |
H2,b | 10 | 1 | 1.33 | 0.69 | 0 | 7.9·10−4 | |
H2,b | 10 | 10 | 1.34 | 0.74 | 0 | 6.6·10−4 | |
H2 | 100 | 1 | 0.69 | 0 | 1.5·10−4 | 8.0·10−15 | |
H2 | 100 | 10 | 0.74 | 4.9·10−4 | 1.2·10−4 | 1.1·10−14 | |
H2,b | 100 | 1 | 1.36 | 0.69 | 0 | 1.0·10−3 | |
H2,b | 100 | 10 | 1.36 | 0.74 | 0 | 6.2·10−4 |