  The average portfolio structure of institutional investors is shown to have
properties which account for transaction costs in an optimal way. This implies
that financial institutions unknowingly display collective rationality, or
Wisdom of the Crowd. Individual deviations from the rational benchmark are
ample, which illustrates that system-wide rationality does not need nearly
rational individuals. Finally we discuss the importance of accounting for
constraints when assessing the presence of Wisdom of the Crowd.

Statistical Finance