手法を比較

	ブラック・リッターマン・ポートフォリオモデル	実現ボラティリティのHAR-RVモデル
分野	ファイナンス	ファイナンス
系統	Regression model	Regression model
提唱年	1992	2009
提唱者	Fischer Black & Robert Litterman	Fulvio Corsi
種類	Bayesian portfolio allocation model	Linear time-series regression for volatility
原典	Black, F. & Litterman, R. (1992). Global Portfolio Optimization. Financial Analysts Journal, 48(5), 28-43.	Corsi, F. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. Journal of Financial Econometrics, 7(2), 174–196.
別名	Black-Litterman, BL model, Black-Litterman Portföy Modeli	HAR-RV, heterogeneous autoregressive realized volatility, Corsi HAR model, HAR-RV Modeli (Heterogeneous Autoregressive Realized Volatility)
関連	5	5
概要	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.	The HAR-RV model, introduced by Fulvio Corsi in 2009, forecasts realized volatility by decomposing it into daily, weekly, and monthly components. It is a simple linear regression that mirrors how market participants with different investment horizons react to volatility, and it naturally captures the long-memory behaviour of volatility.