Diversification as a Public Good: Community Effects in Portfolio Choice
在理性一般均衡模型中，由于借贷约束导致部分人少参与金融市场，投资者通过投资组合竞争本地资源，可能引发羊群效应和社区风险，甚至使理性投资者选择更极端的投资组合。
ABSTRACT Within a rational general equilibrium model in which agents care only about personal consumption, we consider a setting in which, due to borrowing constraints, individuals endowed with local resources underparticipate in financial markets. As a result, investors compete for local resources through their portfolio choices. Even with complete financial markets and no aggregate risk, agents may herd into risky portfolios. This yields a Pareto‐dominated outcome as agents introduce “community” risk unrelated to fundamentals. Moreover, if some agents are behaviorally biased, or cannot completely diversify their holdings, rational agents may choose more extreme portfolios and amplify the effect.