Linganisha mbinu
Pitia mbinu ulizochagua bega kwa bega; safu zinazotofautiana zinaangaziwa.
| Mfumo wa Ugawaji Mali wa Black-Litterman× | Mfumo wa HAR-RV wa Matumizi Halisi ya Kutikisika× | |
|---|---|---|
| Nyanja | Fedha | Fedha |
| Familia | Regression model | Regression model |
| Mwaka wa asili≠ | 1992 | 2009 |
| Mwanzilishi≠ | Fischer Black & Robert Litterman | Fulvio Corsi |
| Aina≠ | Bayesian portfolio allocation model | Linear time-series regression for volatility |
| Chanzo asilia≠ | Black, F. & Litterman, R. (1992). Global Portfolio Optimization. Financial Analysts Journal, 48(5), 28-43. DOI ↗ | Corsi, F. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. Journal of Financial Econometrics, 7(2), 174–196. DOI ↗ |
| Majina mbadala≠ | Black-Litterman, BL model, Black-Litterman Portföy Modeli | HAR-RV, heterogeneous autoregressive realized volatility, Corsi HAR model, HAR-RV Modeli (Heterogeneous Autoregressive Realized Volatility) |
| Zinazohusiana | 5 | 5 |
| Muhtasari≠ | 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. | The HAR-RV model, introduced by Fulvio Corsi in 2009, forecasts realized volatility by decomposing it into daily, weekly, and monthly components. It is a simple linear regression that mirrors how market participants with different investment horizons react to volatility, and it naturally captures the long-memory behaviour of volatility. |
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