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| Faktor Risiko Komponen Utama× | Optimasi Portofolio Rata-rata-Varians (Markowitz)× | |
|---|---|---|
| Bidang | Keuangan | Keuangan |
| Keluarga | Regression model | Regression model |
| Tahun asal≠ | 1991 | 1952 |
| Pencetus≠ | Litterman & Scheinkman (bond-return factors); Connor & Korajczyk (statistical APT factors) | Harry Markowitz |
| Tipe≠ | Statistical factor model (dimension reduction) | Mean-variance optimization model |
| Sumber perintis≠ | Litterman, R. & Scheinkman, J. (1991). Common Factors Affecting Bond Returns. Journal of Fixed Income, 1(1), 54-61. DOI ↗ | Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77-91. DOI ↗ |
| Alias | risk factor PCA, return covariance decomposition, statistical factor model, Risk Faktörü PCA (Getiri Kovaryans Ayrışımı) | Markowitz portfolio theory, modern portfolio theory, efficient frontier optimization, Ortalama-Varyans Portföy Optimizasyonu (Markowitz) |
| Terkait | 5 | 5 |
| Ringkasan≠ | Risk Factor PCA is a dimension-reduction method that decomposes the return covariance matrix of many assets into a small set of orthogonal principal components interpreted as systematic risk factors. Litterman and Scheinkman (1991) used it to show that bond returns are driven by a few common factors, and Connor and Korajczyk (1988) developed the statistical-factor interpretation for the APT. | 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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