Сравнение на методи
Прегледайте избраните методи един до друг; редовете с разлики са откроени.
| Модели на лихвените проценти (Васичек, CIR, Нелсън-Сийгъл)× | Модел на портфейла Блек-Литърман× | |
|---|---|---|
| Област | Финанси | Финанси |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 1977 | 1992 |
| Създател≠ | Vasicek (1977); Nelson & Siegel (1987) | Fischer Black & Robert Litterman |
| Тип≠ | Term-structure / short-rate model | Bayesian portfolio allocation model |
| Основополагащ източник≠ | Vasicek, O. (1977). An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, 5(2), 177–188. DOI ↗ | Black, F. & Litterman, R. (1992). Global Portfolio Optimization. Financial Analysts Journal, 48(5), 28-43. DOI ↗ |
| Други названия≠ | term structure models, short-rate models, yield curve models, Vasicek model | Black-Litterman, BL model, Black-Litterman Portföy Modeli |
| Свързани | 5 | 5 |
| Резюме≠ | Interest rate models are structural models that describe how interest rates evolve over time within a stochastic differential equation framework. The family covers Vasicek's normal short-rate process (1977), the CIR square-root process, the adjustable Hull-White extension, and the Nelson-Siegel approach to fitting the yield curve (1987). | The Black-Litterman model, introduced by Fischer Black and Robert Litterman in 1992, is a Bayesian portfolio allocation framework that blends market-equilibrium returns with an investor's own views to produce more stable, intuitive portfolios. It was designed to cure the extreme concentration and input sensitivity of classical Markowitz mean-variance optimisation. |
| ScholarGateНабор от данни ↗ |
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