Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Парний трейдинг (статистичний арбітраж)× | Модель портфеля з паритетом ризику (рівним внеском у ризик)× | |
|---|---|---|
| Галузь | Фінанси | Фінанси |
| Родина | Regression model | Regression model |
| Рік появи≠ | 2006 | 2010 |
| Автор методу≠ | Gatev, Goetzmann & Rouwenhorst (empirical rule); Vidyamurthy (quantitative framing) | Maillard, Roncalli & Teïletche (2010); popularised by Qian (2005) and Bridgewater All Weather |
| Тип≠ | Cointegration-based mean-reversion trading strategy | Portfolio weighting model (risk budgeting) |
| Основоположне джерело≠ | Gatev, E., Goetzmann, W. N. & Rouwenhorst, K. G. (2006). Pairs Trading: Performance of a Relative-Value Arbitrage Rule. Review of Financial Studies, 19(3), 797–827. 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≠ | statistical arbitrage, relative-value arbitrage, mean-reversion pairs strategy, Çift Alım-Satım Stratejisi (Pairs Trading / Statistical Arbitrage) | equal risk contribution, ERC portfolio, risk budgeting, All Weather strategy |
| Пов'язані≠ | 5 | 3 |
| Підсумок≠ | Pairs trading is a quantitative trading strategy that takes a long-short position on two cointegrated assets when the gap (spread) between their prices shows mean reversion. It was popularised as a relative-value arbitrage rule by Gatev, Goetzmann and Rouwenhorst (2006) and framed quantitatively by Vidyamurthy (2004). | 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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