方法对比
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| 流动性风险模型（Amihud、Roll、LOT）× | 风险均值（等风险贡献）投资组合模型× | |
|---|---|---|
| 领域 | 金融学 | 金融学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 2002 | 2010 |
| 提出者≠ | Amihud (2002); Roll (1984); Lesmond, Ogden & Trzcinka (LOT) | Maillard, Roncalli & Teïletche (2010); popularised by Qian (2005) and Bridgewater All Weather |
| 类型≠ | Liquidity / illiquidity measurement models | Portfolio weighting model (risk budgeting) |
| 开创性文献≠ | 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 ↗ |
| 别名 | Amihud illiquidity, Roll spread estimator, LOT spread measure, Lesmond-Ogden-Trzcinka measure | equal risk contribution, ERC portfolio, risk budgeting, All Weather strategy |
| 相关≠ | 5 | 3 |
| 摘要≠ | 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. |
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