Mathematical Finance & Financial Data Science Seminar

Is Index Concentration an Inevitable Consequence of Market-Capitalization Weighting?

Speaker: Lisa Goldberg, University of California, Berkeley and Aperio by BlackRock

Location: Online Zoom access provided to registrants

Date: Tuesday, February 14, 2023, 5:30 p.m.


Market-cap-weighted equity indexes are ubiquitous. However, there are growing concerns that such indexes are increasingly concentrated in a few stocks. We ask: Does market-cap weighting inevitably lead to increased concentration over time? The question of inevitability arises from research that develops probabilistic causal mechanisms for the dominance by a few firms over time. We show that while the concentration currently observed in major equity market indexes is substantial, it is not at an all-time high. Monte Carlo simulations calibrated to market data provide insight into various approaches to mitigate concentration, albeit at the expense of higher turnover.

Speaker Bio:

CDAR co-Director Lisa Goldberg is Professor of the Practice of Economics at University of California, Berkeley and Head of Research at Aperio Group, now part of BlackRock. Dr. Goldberg is a mathematician whose research integrates best practices from industry and academia.  Her work has touched areas as diverse as topology, dynamical systems, quantitative finance, sports statistics and causal inference.  She has published more than 50 articles and is co-author of a book, Portfolio Risk Management, which was published by Princeton University Press in 2010.  Dr. Goldberg is inventor on five patents and has been awarded numerous research grants including an Alfred P. Sloan Fellowship and an NSF Visiting Professorship for Women. She has served on the editorial boards of four quantitative finance journals and two Springer book series. She is a member of the Advisory Council for the Museum of Mathematics. She serves as an arXiv moderator and is an expert judge for the Moskowitz Prize for Socially Responsible Investing.



This event is free, but requires registration.Please click here to register.  You will then receive the Zoom link by email about a day or so before the event.

Link to the paper presented