השוואת שיטות
סקרו את השיטות שבחרתם זו לצד זו; שורות שבהן יש הבדל מודגשות.
| מודל סיכוני רב-גורמי (פאמה-פרנץ', APT)× | אופטימיזציית תיק השקעות ממוצע-שונות (מרקוביץ)× | |
|---|---|---|
| תחום | מימון | מימון |
| משפחה | Regression model | Regression model |
| שנת המקור≠ | 1993 | 1952 |
| הוגה השיטה≠ | Fama & French (factor model); Ross (Arbitrage Pricing Theory) | Harry Markowitz |
| סוג≠ | Multi-factor linear regression model | Mean-variance optimization model |
| מקור מכונן≠ | 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 ↗ |
| כינויים≠ | 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) |
| קשורות | 5 | 5 |
| תקציר≠ | 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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