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| 이자율 모형 (Vasicek, CIR, Nelson-Siegel)× | 블랙-리터만 포트폴리오 모형× | |
|---|---|---|
| 분야 | 재무학 | 재무학 |
| 계열 | Regression model | Regression model |
| 기원 연도≠ | 1977 | 1992 |
| 창시자≠ | Vasicek (1977); Nelson & Siegel (1987) | Fischer Black & Robert Litterman |
| 유형≠ | Term-structure / short-rate model | Bayesian portfolio allocation model |
| 원전≠ | Vasicek, O. (1977). An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, 5(2), 177–188. DOI ↗ | Black, F. & Litterman, R. (1992). Global Portfolio Optimization. Financial Analysts Journal, 48(5), 28-43. DOI ↗ |
| 별칭≠ | term structure models, short-rate models, yield curve models, Vasicek model | Black-Litterman, BL model, Black-Litterman Portföy Modeli |
| 관련 | 5 | 5 |
| 요약≠ | Interest rate models are structural models that describe how interest rates evolve over time within a stochastic differential equation framework. The family covers Vasicek's normal short-rate process (1977), the CIR square-root process, the adjustable Hull-White extension, and the Nelson-Siegel approach to fitting the yield curve (1987). | 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. |
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