Articles producció científicaGestió d'Empreses

Stability of Beta Coefficients of Sector and Subsector Portfolios in an Uncertain Environment

  • Identification data

    Identifier:  imarina:5127617
    Handle: https://hdl.handle.net/20.500.11797/imarina5127617
    Authors:  Terceño, A; Barberá-Mariné, MG; Vigier, H; Laumann, Y
    Abstract:
    This paper is a first approach to the study of beta coefficients using fuzzy regression. We intend to improve the calculation of the sector and subsector betas of the Spanish Stock Market using fuzzy regression in an attempt to incorporate all future inaccuracies and the subjectivity associated with decision making. Our objective is to use all the information provided by the market to determine the systematic risk.

  • Others:

    Link to the original source: http://www.doiserbia.nb.rs/Article.aspx?id=1820-02141400047T#.YTHSnJoza71
    APA: Terceño, A; Barberá-Mariné, MG; Vigier, H; Laumann, Y (2014). Stability of Beta Coefficients of Sector and Subsector Portfolios in an Uncertain Environment. Computer Science and Information Systems, 11(2), 859-880. DOI: 10.2298/CSIS121222047T
    Paper original source: Computer Science and Information Systems. 11 (2): 859-880
    Article's DOI: 10.2298/CSIS121222047T
    Journal publication year: 2014-06-01
    Entity: Universitat Rovira i Virgili
    Paper version: info:eu-repo/semantics/publishedVersion
    Record's date: 2026-05-09
    URV's Author/s: Barberà Mariné, Maria Glòria / LAUMANN, YANINA MARIELA / Terceño Gómez, Antonio / Vigier, Hernan Pedro
    Department: Gestió d'Empreses
    Licence document URL: https://repositori.urv.cat/ca/proteccio-de-dades/
    Publication Type: Journal Publications
    Author, as appears in the article.: Terceño, A; Barberá-Mariné, MG; Vigier, H; Laumann, Y
    licence for use: https://creativecommons.org/licenses/by/3.0/es/
    Thematic Areas: General computer science, Engenharias iii, Computer science, software engineering, Computer science, information systems, Computer science (miscellaneous), Computer science (all), Ciência da computação
    Author's mail: hernanpedro.vigier@urv.cat, hernanpedro.vigier@urv.cat, gloria.barbera@urv.cat, gloria.barbera@urv.cat, gloria.barbera@urv.cat, gloria.barbera@urv.cat, antonio.terceno@urv.cat, antonio.terceno@urv.cat, antonio.terceno@urv.cat

  • Keywords:

    Risk
    Prediction
    Fuzzy regression
    Capm
    Beta coefficient
    Computer Science (Miscellaneous)
    Computer Science
    Information Systems
    Software Engineering
    General computer science
    Engenharias iii
    Computer science (all)
    Ciência da computação

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