Compară metode
Examinează metodele selectate una lângă alta; rândurile care diferă sunt evidențiate.
| Modele de risc de lichiditate (Amihud, Roll, LOT)× | Model de Portofoliu Risk Parity (Contribuție Egală la Risc)× | |
|---|---|---|
| Domeniu | Finanțe | Finanțe |
| Familie | Regression model | Regression model |
| Anul apariției≠ | 2002 | 2010 |
| Autorul original≠ | Amihud (2002); Roll (1984); Lesmond, Ogden & Trzcinka (LOT) | Maillard, Roncalli & Teïletche (2010); popularised by Qian (2005) and Bridgewater All Weather |
| Tip≠ | Liquidity / illiquidity measurement models | Portfolio weighting model (risk budgeting) |
| Sursa seminală≠ | Amihud, Y. (2002). Illiquidity and Stock Returns: Cross-Section and Time-Series Effects. Journal of Financial Markets, 5(1), 31-56. 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 ↗ |
| Denumiri alternative | Amihud illiquidity, Roll spread estimator, LOT spread measure, Lesmond-Ogden-Trzcinka measure | equal risk contribution, ERC portfolio, risk budgeting, All Weather strategy |
| Înrudite≠ | 5 | 3 |
| Rezumat≠ | Liquidity Risk Models are a family of measures that quantify how easily an asset trades by capturing its price impact, its effective bid-ask spread, and a holding-period adjustment. The family brings together the Amihud illiquidity ratio (Amihud, 2002), the Roll serial-covariance spread estimator (Roll, 1984), and the LOT (Lesmond-Ogden-Trzcinka) realised-spread measure. | 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 de date ↗ |
|
|