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| A kockázatparitás (egyenlő kockázati hozzájárulás) portfóliómodell× | A Black-Litterman portfóliómodell× | |
|---|---|---|
| Tudományterület | Pénzügy | Pénzügy |
| Módszercsalád | Regression model | Regression model |
| Keletkezés éve≠ | 2010 | 1992 |
| Megalkotó≠ | Maillard, Roncalli & Teïletche (2010); popularised by Qian (2005) and Bridgewater All Weather | Fischer Black & Robert Litterman |
| Típus≠ | Portfolio weighting model (risk budgeting) | Bayesian portfolio allocation model |
| Alapmű≠ | 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 ↗ |
| Alternatív nevek≠ | equal risk contribution, ERC portfolio, risk budgeting, All Weather strategy | Black-Litterman, BL model, Black-Litterman Portföy Modeli |
| Kapcsolódó≠ | 3 | 5 |
| Összefoglaló≠ | 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. |
| ScholarGateAdatkészlet ↗ |
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