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| Model Black-Litterman× | Párové obchodovanie (štatistická arbitráž)× | |
|---|---|---|
| Odbor | Financie | Financie |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 1992 | 2006 |
| Tvorca≠ | Fischer Black & Robert Litterman | Gatev, Goetzmann & Rouwenhorst (empirical rule); Vidyamurthy (quantitative framing) |
| Typ≠ | Bayesian portfolio allocation model | Cointegration-based mean-reversion trading strategy |
| Pôvodný zdroj≠ | Black, F. & Litterman, R. (1992). Global Portfolio Optimization. Financial Analysts Journal, 48(5), 28-43. DOI ↗ | Gatev, E., Goetzmann, W. N. & Rouwenhorst, K. G. (2006). Pairs Trading: Performance of a Relative-Value Arbitrage Rule. Review of Financial Studies, 19(3), 797–827. DOI ↗ |
| Ďalšie názvy≠ | Black-Litterman, BL model, Black-Litterman Portföy Modeli | statistical arbitrage, relative-value arbitrage, mean-reversion pairs strategy, Çift Alım-Satım Stratejisi (Pairs Trading / Statistical Arbitrage) |
| Príbuzné | 5 | 5 |
| Zhrnutie≠ | 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. | Pairs trading is a quantitative trading strategy that takes a long-short position on two cointegrated assets when the gap (spread) between their prices shows mean reversion. It was popularised as a relative-value arbitrage rule by Gatev, Goetzmann and Rouwenhorst (2006) and framed quantitatively by Vidyamurthy (2004). |
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