方法对比
并排查看您选择的方法；存在差异的行会高亮显示。
| 均值-方差投资组合优化（Markowitz）× | 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≠ | 1952 | 2010 |
| 提出者≠ | Harry Markowitz | Maillard, Roncalli & Teïletche (2010); popularised by Qian (2005) and Bridgewater All Weather |
| 类型≠ | Mean-variance optimization model | Portfolio weighting model (risk budgeting) |
| 开创性文献≠ | Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77-91. 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≠ | Markowitz portfolio theory, modern portfolio theory, efficient frontier optimization, Ortalama-Varyans Portföy Optimizasyonu (Markowitz) | equal risk contribution, ERC portfolio, risk budgeting, All Weather strategy |
| 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. | 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. |
| ScholarGate数据集 ↗ |
|
|