Comparer des méthodes
Examinez les méthodes sélectionnées côte à côte ; les lignes qui diffèrent sont mises en évidence.
| Modèles de taux d'intérêt (Vasicek, CIR, Nelson-Siegel)× | Modèle de Portefeuille Black-Litterman× | |
|---|---|---|
| Domaine | Finance | Finance |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1977 | 1992 |
| Auteur d'origine≠ | Vasicek (1977); Nelson & Siegel (1987) | Fischer Black & Robert Litterman |
| Type≠ | Term-structure / short-rate model | Bayesian portfolio allocation model |
| Source fondatrice≠ | Vasicek, O. (1977). An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, 5(2), 177–188. DOI ↗ | Black, F. & Litterman, R. (1992). Global Portfolio Optimization. Financial Analysts Journal, 48(5), 28-43. DOI ↗ |
| Alias≠ | term structure models, short-rate models, yield curve models, Vasicek model | Black-Litterman, BL model, Black-Litterman Portföy Modeli |
| Apparentées | 5 | 5 |
| Résumé≠ | 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). | 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. |
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