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| Optimizacija portfolija srednja vrednost-varijansa (Markowitz)× | Testiranje vrednosti na rizik (VaR) unazad× | |
|---|---|---|
| Oblast | Finansije | Finansije |
| Porodica | Regression model | Regression model |
| Godina nastanka≠ | 1952 | 1998 |
| Tvorac≠ | Harry Markowitz | Kupiec (1995); Christoffersen (1998); Engle & Manganelli (DQ test) |
| Tip≠ | Mean-variance optimization model | Statistical hypothesis tests on VaR violation sequences |
| Temeljni izvor≠ | Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77-91. DOI ↗ | Kupiec, P. H. (1995). Techniques for Verifying the Accuracy of Risk Measurement Models. The Journal of Derivatives, 3(2), 73-84. DOI ↗ |
| Drugi nazivi≠ | Markowitz portfolio theory, modern portfolio theory, efficient frontier optimization, Ortalama-Varyans Portföy Optimizasyonu (Markowitz) | VaR backtest, Kupiec test, Christoffersen test, Dynamic Quantile test |
| Srodne≠ | 5 | 3 |
| Sažetak≠ | 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. | VaR backtesting is a family of statistical tests that validate a risk model by comparing its Value-at-Risk forecasts against realised losses. It builds on Kupiec's (1995) unconditional coverage test, Christoffersen's (1998) conditional coverage test, and the Engle-Manganelli Dynamic Quantile (DQ) test. |
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