Porovnať metódy
Prezrite si vybrané metódy vedľa seba; riadky, ktoré sa líšia, sú zvýraznené.
| Modely likviditného rizika (Amihud, Roll, LOT)× | Model portfólia s paritou rizika (rovnaký príspevok k riziku)× | |
|---|---|---|
| Odbor | Financie | Financie |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 2002 | 2010 |
| Tvorca≠ | Amihud (2002); Roll (1984); Lesmond, Ogden & Trzcinka (LOT) | Maillard, Roncalli & Teïletche (2010); popularised by Qian (2005) and Bridgewater All Weather |
| Typ≠ | Liquidity / illiquidity measurement models | Portfolio weighting model (risk budgeting) |
| Pôvodný zdroj≠ | 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 ↗ |
| Ďalšie názvy | Amihud illiquidity, Roll spread estimator, LOT spread measure, Lesmond-Ogden-Trzcinka measure | equal risk contribution, ERC portfolio, risk budgeting, All Weather strategy |
| Príbuzné≠ | 5 | 3 |
| Zhrnutie≠ | 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. |
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