Systemic Liquidation Risk and the Diversity–Diversification Trade‐Off
提出一个投资组合选择模型，投资者面临联合清算风险（如2008-2009年危机），这会激励他们选择异质化投资组合并理性放弃分散化收益，同时影响资产定价。
ABSTRACT This paper proposes a portfolio choice model in which investors are subject to liquidation risk and (endogenously) face higher costs in the event of joint liquidation (as was observed during the crisis of 2008 to 2009). The risk of joint liquidation creates an incentive for investors to choose heterogeneous portfolios and to rationally forgo diversification benefits. Joint liquidation risk is also reflected in asset prices, resulting in (1) assets with high idiosyncratic risk having low expected returns, and (2) assets that display high correlation with the portfolios of (liquidation‐prone) investors having high expected returns.