Porovnat metody
Prohlédněte si vybrané metody vedle sebe; řádky, které se liší, jsou zvýrazněny.
| Modely rizika likvidity (Amihud, Roll, LOT)× | Model portfolia založený na paritě rizika (rovný příspěvek k riziku)× | |
|---|---|---|
| Obor | Finance | Finance |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 2002 | 2010 |
| Tvůrce≠ | Amihud (2002); Roll (1984); Lesmond, Ogden & Trzcinka (LOT) | Maillard, Roncalli & Teïletche (2010); popularised by Qian (2005) and Bridgewater All Weather |
| Typ≠ | Liquidity / illiquidity measurement models | Portfolio weighting model (risk budgeting) |
| Původní zdroj≠ | Amihud, Y. (2002). Illiquidity and Stock Returns: Cross-Section and Time-Series Effects. Journal of Financial Markets, 5(1), 31-56. DOI ↗ | Maillard, S., Roncalli, T. & Teïletche, J. (2010). The Properties of Equally Weighted Risk Contribution Portfolios. Journal of Portfolio Management, 36(4), 60–70. DOI ↗ |
| Další názvy | Amihud illiquidity, Roll spread estimator, LOT spread measure, Lesmond-Ogden-Trzcinka measure | equal risk contribution, ERC portfolio, risk budgeting, All Weather strategy |
| Příbuzné≠ | 5 | 3 |
| Shrnutí≠ | Liquidity Risk Models are a family of measures that quantify how easily an asset trades by capturing its price impact, its effective bid-ask spread, and a holding-period adjustment. The family brings together the Amihud illiquidity ratio (Amihud, 2002), the Roll serial-covariance spread estimator (Roll, 1984), and the LOT (Lesmond-Ogden-Trzcinka) realised-spread measure. | 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. |
| ScholarGateDatová sada ↗ |
|
|