方法对比
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| 均值-方差投资组合优化（Markowitz）× | VaR回测× | |
|---|---|---|
| 领域 | 金融学 | 金融学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1952 | 1998 |
| 提出者≠ | Harry Markowitz | Kupiec (1995); Christoffersen (1998); Engle & Manganelli (DQ test) |
| 类型≠ | Mean-variance optimization model | Statistical hypothesis tests on VaR violation sequences |
| 开创性文献≠ | Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77-91. DOI ↗ | Kupiec, P. H. (1995). Techniques for Verifying the Accuracy of Risk Measurement Models. The Journal of Derivatives, 3(2), 73-84. DOI ↗ |
| 别名≠ | Markowitz portfolio theory, modern portfolio theory, efficient frontier optimization, Ortalama-Varyans Portföy Optimizasyonu (Markowitz) | VaR backtest, Kupiec test, Christoffersen test, Dynamic Quantile test |
| 相关≠ | 5 | 3 |
| 摘要≠ | Mean-variance portfolio optimization is the foundational model of modern portfolio theory, introduced by Harry Markowitz in 1952. It describes portfolios in an expected-return versus risk (variance) plane and traces the efficient frontier of allocations that offer the highest expected return for each level of risk, covering the minimum-variance portfolio, the maximum-Sharpe-ratio portfolio, and constrained variants. | VaR backtesting is a family of statistical tests that validate a risk model by comparing its Value-at-Risk forecasts against realised losses. It builds on Kupiec's (1995) unconditional coverage test, Christoffersen's (1998) conditional coverage test, and the Engle-Manganelli Dynamic Quantile (DQ) test. |
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