مقایسهٔ روشها
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| بهینهسازی پرتفوی میانگین-واریانس (مارکوویتز)× | مدلهای ریسک اعتباری (مرتون، KMV، CreditMetrics)× | |
|---|---|---|
| حوزه | مالی | مالی |
| خانواده | Regression model | Regression model |
| سال پیدایش≠ | 1952 | 1974 |
| پدیدآور≠ | Harry Markowitz | Robert C. Merton (structural model); J.P. Morgan / Gupton et al. (CreditMetrics) |
| نوع≠ | Mean-variance optimization model | Structural and portfolio credit risk model |
| منبع بنیادین≠ | Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77-91. DOI ↗ | Merton, R. C. (1974). On the Pricing of Corporate Debt: The Risk Structure of Interest Rates. The Journal of Finance, 29(2), 449-470. DOI ↗ |
| نامهای دیگر≠ | Markowitz portfolio theory, modern portfolio theory, efficient frontier optimization, Ortalama-Varyans Portföy Optimizasyonu (Markowitz) | Merton model, KMV model, CreditMetrics, structural credit risk model |
| مرتبط | 5 | 5 |
| خلاصه≠ | 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. | Credit risk models estimate the probability that a borrower defaults and the resulting distribution of credit losses. The structural approach was introduced by Robert C. Merton in 1974, treating a firm's equity as a call option on its assets, and was later extended into the KMV distance-to-default framework and the CreditMetrics rating-transition portfolio model published by J.P. Morgan in 1997. |
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