Linganisha mbinu
Pitia mbinu ulizochagua bega kwa bega; safu zinazotofautiana zinaangaziwa.
| Mfumo wa Pato la Fedha wa Uwiano wa Hatari (Mchango Sawa wa Hatari)× | Tail Risk Measures× | |
|---|---|---|
| Nyanja | Fedha | Fedha |
| Familia | Regression model | Regression model |
| Mwaka wa asili≠ | 2010 | 1999 |
| Mwanzilishi≠ | Maillard, Roncalli & Teïletche (2010); popularised by Qian (2005) and Bridgewater All Weather | Artzner, Delbaen, Eber & Heath (coherent risk axioms); Acerbi & Tasche (Expected Shortfall) |
| Aina≠ | Portfolio weighting model (risk budgeting) | Coherent tail risk measure |
| Chanzo asilia≠ | Maillard, S., Roncalli, T. & Teïletche, J. (2010). The Properties of Equally Weighted Risk Contribution Portfolios. Journal of Portfolio Management, 36(4), 60–70. DOI ↗ | Artzner, P., Delbaen, F., Eber, J.-M. & Heath, D. (1999). Coherent Measures of Risk. Mathematical Finance, 9(3), 203–228. DOI ↗ |
| Majina mbadala≠ | equal risk contribution, ERC portfolio, risk budgeting, All Weather strategy | expected shortfall, conditional value at risk, CVaR, spectral risk measure |
| Zinazohusiana≠ | 3 | 5 |
| Muhtasari≠ | 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. | Tail risk measures quantify the loss distribution beyond Value-at-Risk (VaR). Expected Shortfall — the expected loss given that VaR is exceeded — is the leading coherent risk measure, formalised by Artzner, Delbaen, Eber and Heath (1999) and shown to be coherent by Acerbi and Tasche (2002). Spectral and expectile-based measures generalise it. |
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