مقایسهٔ روشها
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| مدل ریسک چندعاملی (فاما-فرنچ، APT)× | بهینهسازی پرتفوی میانگین-واریانس (مارکوویتز)× | |
|---|---|---|
| حوزه | مالی | مالی |
| خانواده | Regression model | Regression model |
| سال پیدایش≠ | 1993 | 1952 |
| پدیدآور≠ | Fama & French (factor model); Ross (Arbitrage Pricing Theory) | Harry Markowitz |
| نوع≠ | Multi-factor linear regression model | Mean-variance optimization model |
| منبع بنیادین≠ | Fama, E. F., & French, K. R. (1993). Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, 33(1), 3-56. DOI ↗ | Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77-91. DOI ↗ |
| نامهای دیگر≠ | Fama-French model, Fama-French three-factor model, Fama-French five-factor model, arbitrage pricing theory | Markowitz portfolio theory, modern portfolio theory, efficient frontier optimization, Ortalama-Varyans Portföy Optimizasyonu (Markowitz) |
| مرتبط | 5 | 5 |
| خلاصه≠ | A factor risk model is a multi-factor framework that links asset returns to systematic risk factors such as the market, value, size, and momentum. The Fama-French three- and five-factor models (1993) and Ross's Arbitrage Pricing Theory (1976) decompose portfolio risk and detect alpha. | 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. |
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