Comparer des méthodes
Examinez les méthodes sélectionnées côte à côte ; les lignes qui diffèrent sont mises en évidence.
| Optimisation de portefeuille moyenne-variance (Markowitz)× | Modèles de taux d'intérêt (Vasicek, CIR, Nelson-Siegel)× | |
|---|---|---|
| Domaine | Finance | Finance |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1952 | 1977 |
| Auteur d'origine≠ | Harry Markowitz | Vasicek (1977); Nelson & Siegel (1987) |
| Type≠ | Mean-variance optimization model | Term-structure / short-rate model |
| Source fondatrice≠ | Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77-91. DOI ↗ | Vasicek, O. (1977). An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, 5(2), 177–188. DOI ↗ |
| Alias≠ | Markowitz portfolio theory, modern portfolio theory, efficient frontier optimization, Ortalama-Varyans Portföy Optimizasyonu (Markowitz) | term structure models, short-rate models, yield curve models, Vasicek model |
| Apparentées | 5 | 5 |
| Résumé≠ | 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. | 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). |
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