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| Модел на стохастична волатилност (Хестън)× | Оптимизация на портфейл по средна стойност и дисперсия (Марковиц)× | |
|---|---|---|
| Област | Финанси | Финанси |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 1993 | 1952 |
| Създател≠ | Steven L. Heston | Harry Markowitz |
| Тип≠ | Continuous-time stochastic volatility model | Mean-variance optimization model |
| Основополагащ източник≠ | Heston, S. L. (1993). A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. Review of Financial Studies, 6(2), 327-343. DOI ↗ | Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77-91. DOI ↗ |
| Други названия | Heston model, SV model, continuous-time stochastic volatility, Stokastik Volatilite Modeli (Heston, SV) | Markowitz portfolio theory, modern portfolio theory, efficient frontier optimization, Ortalama-Varyans Portföy Optimizasyonu (Markowitz) |
| Свързани | 5 | 5 |
| Резюме≠ | The stochastic volatility model is a continuous-time option-pricing and risk framework in which volatility follows its own random process rather than staying constant. The Heston model, introduced by Steven Heston in 1993, gives the variance a mean-reverting square-root (CIR) dynamic and yields a closed-form option price; it is the continuous-time counterpart of GARCH. | Mean-variance portfolio optimization is the foundational model of modern portfolio theory, introduced by Harry Markowitz in 1952. It describes portfolios in an expected-return versus risk (variance) plane and traces the efficient frontier of allocations that offer the highest expected return for each level of risk, covering the minimum-variance portfolio, the maximum-Sharpe-ratio portfolio, and constrained variants. |
| ScholarGateНабор от данни ↗ |
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