مقایسهٔ روشها
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| مدل پرتفوی برابری ریسک (مشارکت ریسک برابر)× | مدل پرتفوی بلک-لیترمن× | |
|---|---|---|
| حوزه | مالی | مالی |
| خانواده | Regression model | Regression model |
| سال پیدایش≠ | 2010 | 1992 |
| پدیدآور≠ | Maillard, Roncalli & Teïletche (2010); popularised by Qian (2005) and Bridgewater All Weather | Fischer Black & Robert Litterman |
| نوع≠ | Portfolio weighting model (risk budgeting) | Bayesian portfolio allocation model |
| منبع بنیادین≠ | Maillard, S., Roncalli, T. & Teïletche, J. (2010). The Properties of Equally Weighted Risk Contribution Portfolios. Journal of Portfolio Management, 36(4), 60–70. DOI ↗ | Black, F. & Litterman, R. (1992). Global Portfolio Optimization. Financial Analysts Journal, 48(5), 28-43. DOI ↗ |
| نامهای دیگر≠ | equal risk contribution, ERC portfolio, risk budgeting, All Weather strategy | Black-Litterman, BL model, Black-Litterman Portföy Modeli |
| مرتبط≠ | 3 | 5 |
| خلاصه≠ | 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. | The Black-Litterman model, introduced by Fischer Black and Robert Litterman in 1992, is a Bayesian portfolio allocation framework that blends market-equilibrium returns with an investor's own views to produce more stable, intuitive portfolios. It was designed to cure the extreme concentration and input sensitivity of classical Markowitz mean-variance optimisation. |
| ScholarGateمجموعهداده ↗ |
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