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| Optimasi Portofolio Rata-rata-Varians (Markowitz)× | Model Portofolio Partisipasi Risiko (Kontribusi Risiko Setara)× | |
|---|---|---|
| Bidang | Keuangan | Keuangan |
| Keluarga | Regression model | Regression model |
| Tahun asal≠ | 1952 | 2010 |
| Pencetus≠ | Harry Markowitz | Maillard, Roncalli & Teïletche (2010); popularised by Qian (2005) and Bridgewater All Weather |
| Tipe≠ | Mean-variance optimization model | Portfolio weighting model (risk budgeting) |
| Sumber perintis≠ | Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77-91. DOI ↗ | Maillard, S., Roncalli, T. & Teïletche, J. (2010). The Properties of Equally Weighted Risk Contribution Portfolios. Journal of Portfolio Management, 36(4), 60–70. DOI ↗ |
| Alias≠ | Markowitz portfolio theory, modern portfolio theory, efficient frontier optimization, Ortalama-Varyans Portföy Optimizasyonu (Markowitz) | equal risk contribution, ERC portfolio, risk budgeting, All Weather strategy |
| Terkait≠ | 5 | 3 |
| Ringkasan≠ | 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. | 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. |
| ScholarGateSet data ↗ |
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