Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Модель портфеля Блека-Літтермана× | Модель портфеля з паритетом ризику (рівним внеском у ризик)× | |
|---|---|---|
| Галузь | Фінанси | Фінанси |
| Родина | Regression model | Regression model |
| Рік появи≠ | 1992 | 2010 |
| Автор методу≠ | Fischer Black & Robert Litterman | Maillard, Roncalli & Teïletche (2010); popularised by Qian (2005) and Bridgewater All Weather |
| Тип≠ | Bayesian portfolio allocation model | Portfolio weighting model (risk budgeting) |
| Основоположне джерело≠ | Black, F. & Litterman, R. (1992). Global Portfolio Optimization. Financial Analysts Journal, 48(5), 28-43. 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 ↗ |
| Інші назви≠ | Black-Litterman, BL model, Black-Litterman Portföy Modeli | equal risk contribution, ERC portfolio, risk budgeting, All Weather strategy |
| Пов'язані≠ | 5 | 3 |
| Підсумок≠ | 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. | 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. |
| ScholarGateНабір даних ↗ |
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