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| Optimalizácia portfólia pomocou priemernej odchýlky (Markowitz)× | Model ARIMA (Autoregressive Integrated Moving Average)× | |
|---|---|---|
| Odbor≠ | Financie | Ekonometria |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 1952 | 2015 |
| Tvorca≠ | Harry Markowitz | Box & Jenkins (Box-Jenkins methodology) |
| Typ≠ | Mean-variance optimization model | Univariate time-series model |
| Pôvodný zdroj≠ | Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77-91. DOI ↗ | Box, G. E. P., Jenkins, G. M., Reinsel, G. C. & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021 |
| Ďalšie názvy≠ | Markowitz portfolio theory, modern portfolio theory, efficient frontier optimization, Ortalama-Varyans Portföy Optimizasyonu (Markowitz) | Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli |
| Príbuzné | 5 | 5 |
| Zhrnutie≠ | Mean-variance portfolio optimization is the foundational model of modern portfolio theory, introduced by Harry Markowitz in 1952. It describes portfolios in an expected-return versus risk (variance) plane and traces the efficient frontier of allocations that offer the highest expected return for each level of risk, covering the minimum-variance portfolio, the maximum-Sharpe-ratio portfolio, and constrained variants. | ARIMA is a univariate time-series forecasting model that combines autoregressive, integrated (differencing), and moving-average components to predict a single continuous series from its own past. It is the centrepiece of the Box-Jenkins methodology set out in Box, Jenkins, Reinsel & Ljung's Time Series Analysis (5th ed., 2015). |
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