Riskipariteedi (võrdse riskipanuse) portfellimudel
Riskipariteet on portfellide kaalude määramise mudel, mille formaliseerisid Maillard, Roncalli ja Teïletche (2010) ning mille kohaselt iga vara annab võrdse osa portfelliriski kogusummast. See vajab vaid varade kovariantsus- (riskistruktuuri) ja mitte oodatavate tulude prognoose ning see on Bridgewater'i All Weather strateegia aluseks.
Loe meetodi täielikku kirjeldust
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Method map
The neighbourhood of related methods — select a node to explore.
Allikad
- Maillard, S., Roncalli, T. & Teïletche, J. (2010). The Properties of Equally Weighted Risk Contribution Portfolios. Journal of Portfolio Management, 36(4), 60–70. DOI: 10.3905/jpm.2010.36.4.060 ↗
- Qian, E. (2005). Risk Parity Portfolios: Efficient Portfolios Through True Diversification. PanAgora Asset Management. link ↗
Kuidas sellele lehele viidata
ScholarGate. (2026, June 1). Risk Parity (Equal Risk Contribution) Portfolio Model. ScholarGate. https://scholargate.app/et/finance/risk-parity-model
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
- Black-Littermani portfellimudelRahandus↔ compare
- Tail Risk MeasuresRahandus↔ compare
- Riskiväärtus (VaR)Rahandus↔ compare
Sellele viitavad
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