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| Các Mô hình Rủi ro Thanh khoản (Amihud, Roll, LOT)× | Mô hình Danh mục Đầu tư theo Tỷ lệ Rủi ro (Đóng góp Rủi ro Bình đẳng)× | |
|---|---|---|
| Lĩnh vực | Tài chính | Tài chính |
| Họ | Regression model | Regression model |
| Năm ra đời≠ | 2002 | 2010 |
| Người khởi xướng≠ | Amihud (2002); Roll (1984); Lesmond, Ogden & Trzcinka (LOT) | Maillard, Roncalli & Teïletche (2010); popularised by Qian (2005) and Bridgewater All Weather |
| Loại≠ | Liquidity / illiquidity measurement models | Portfolio weighting model (risk budgeting) |
| Công trình gốc≠ | Amihud, Y. (2002). Illiquidity and Stock Returns: Cross-Section and Time-Series Effects. Journal of Financial Markets, 5(1), 31-56. 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 ↗ |
| Tên gọi khác | Amihud illiquidity, Roll spread estimator, LOT spread measure, Lesmond-Ogden-Trzcinka measure | equal risk contribution, ERC portfolio, risk budgeting, All Weather strategy |
| Liên quan≠ | 5 | 3 |
| Tóm tắt≠ | Liquidity Risk Models are a family of measures that quantify how easily an asset trades by capturing its price impact, its effective bid-ask spread, and a holding-period adjustment. The family brings together the Amihud illiquidity ratio (Amihud, 2002), the Roll serial-covariance spread estimator (Roll, 1984), and the LOT (Lesmond-Ogden-Trzcinka) realised-spread measure. | 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. |
| ScholarGateBộ dữ liệu ↗ |
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