পদ্ধতির তুলনা করুন
নির্বাচিত পদ্ধতিগুলো পাশাপাশি পর্যালোচনা করুন; যে সারিগুলোয় পার্থক্য আছে সেগুলো চিহ্নিত করা হয়।
| ঝুঁকি সমতা (সমান ঝুঁকি অবদান) পোর্টফোলিও মডেল× | Value at Risk (VaR)× | |
|---|---|---|
| ক্ষেত্র | অর্থায়ন | অর্থায়ন |
| পরিবার | Regression model | Regression model |
| উদ্ভবের বছর≠ | 2010 | 2007 |
| প্রবর্তক≠ | Maillard, Roncalli & Teïletche (2010); popularised by Qian (2005) and Bridgewater All Weather | Jorion (textbook benchmark); popularised by RiskMetrics / J.P. Morgan |
| ধরন≠ | Portfolio weighting model (risk budgeting) | Financial risk measure |
| মৌলিক উৎস≠ | Maillard, S., Roncalli, T. & Teïletche, J. (2010). The Properties of Equally Weighted Risk Contribution Portfolios. Journal of Portfolio Management, 36(4), 60–70. DOI ↗ | Jorion, P. (2007). Value at Risk: The New Benchmark for Managing Financial Risk (3rd ed.). McGraw-Hill. ISBN: 978-0071464956 |
| অপর নাম | equal risk contribution, ERC portfolio, risk budgeting, All Weather strategy | VaR, value-at-risk, delta-normal VaR, historical simulation VaR |
| সম্পর্কিত≠ | 3 | 5 |
| সারসংক্ষেপ≠ | Risk parity is a portfolio weighting model, formalised by Maillard, Roncalli and Teïletche (2010), in which every asset contributes an equal share of the total portfolio risk. It needs only the covariance (risk) structure of the assets and no forecast of expected returns, and it underpins Bridgewater's All Weather strategy. | Value at Risk is a financial risk measure that estimates the maximum loss a position or portfolio could suffer over a fixed holding period at a given confidence level. It is the standard benchmark in risk management and regulatory capital calculations, developed in the textbook tradition of Jorion (2007) and the Basel market-risk framework. |
| ScholarGateডেটাসেট ↗ |
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