Comparar métodos
Examine os métodos selecionados lado a lado; as linhas que diferem ficam destacadas.
| Modelo de Portfólio Black-Litterman× | Modelo HAR-RV de Volatilidade Realizada× | |
|---|---|---|
| Área | Finanças | Finanças |
| Família | Regression model | Regression model |
| Ano de origem≠ | 1992 | 2009 |
| Autor original≠ | Fischer Black & Robert Litterman | Fulvio Corsi |
| Tipo≠ | Bayesian portfolio allocation model | Linear time-series regression for volatility |
| Fonte seminal≠ | Black, F. & Litterman, R. (1992). Global Portfolio Optimization. Financial Analysts Journal, 48(5), 28-43. DOI ↗ | Corsi, F. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. Journal of Financial Econometrics, 7(2), 174–196. DOI ↗ |
| Outros nomes≠ | Black-Litterman, BL model, Black-Litterman Portföy Modeli | HAR-RV, heterogeneous autoregressive realized volatility, Corsi HAR model, HAR-RV Modeli (Heterogeneous Autoregressive Realized Volatility) |
| Relacionados | 5 | 5 |
| Resumo≠ | 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. |
| ScholarGateConjunto de dados ↗ |
|
|