Sammenlign metoder
Gennemgå dine valgte metoder side om side; rækker, der afviger, er fremhævet.
| Middel-varians porteføljeoptimering (Markowitz)× | Rente-modeller (Vasicek, CIR, Nelson-Siegel)× | |
|---|---|---|
| Fagområde | Finansiering | Finansiering |
| Familie | Regression model | Regression model |
| Oprindelsesår≠ | 1952 | 1977 |
| Ophavsperson≠ | Harry Markowitz | Vasicek (1977); Nelson & Siegel (1987) |
| Type≠ | Mean-variance optimization model | Term-structure / short-rate model |
| Oprindelig kilde≠ | Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77-91. DOI ↗ | Vasicek, O. (1977). An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, 5(2), 177–188. DOI ↗ |
| Aliasser≠ | Markowitz portfolio theory, modern portfolio theory, efficient frontier optimization, Ortalama-Varyans Portföy Optimizasyonu (Markowitz) | term structure models, short-rate models, yield curve models, Vasicek model |
| Relaterede | 5 | 5 |
| Resumé≠ | 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. | 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). |
| ScholarGateDatasæt ↗ |
|
|