Krkoska, Eduard; Schenk-Hoppé, Klaus Reiner - In: Journal of risk and financial management : JRFM 12 (2019) 1/47, pp. 1-14
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 … modelling herding risk which merit empirical analysis. This financial economists' perspective supplements the vast statistical …
