Articles producció científica> Gestió d'Empreses

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

  • Identification data

    Identifier: imarina:5127617
    Authors:
    Terceno, AntonioGloria Barbera-Marine, M.Vigier, HernanLaumann, Yanina
    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:

    Author, as appears in the article.: Terceno, Antonio; Gloria Barbera-Marine, M.; Vigier, Hernan; Laumann, Yanina;
    Department: Gestió d'Empreses
    URV's Author/s: Barberà Mariné, Maria Glòria / LAUMANN, YANINA MARIELA / Terceño Gómez, Antonio / Vigier, Hernan Pedro
    Keywords: Risk Prediction Fuzzy regression Capm Beta coefficient
    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.
    Thematic Areas: Interdisciplinar General computer science Engenharias iii Computer science, software engineering Computer science, information systems Computer science (miscellaneous) Computer science (all)
    licence for use: https://creativecommons.org/licenses/by/3.0/es/
    Author's mail: hernanpedro.vigier@urv.cat gloria.barbera@urv.cat gloria.barbera@urv.cat antonio.terceno@urv.cat antonio.terceno@urv.cat
    Author identifier: 0000-0003-2578-1301 0000-0003-2578-1301 0000-0001-5348-8837 0000-0001-5348-8837
    Record's date: 2024-09-07
    Papper version: info:eu-repo/semantics/publishedVersion
    Link to the original source: http://www.doiserbia.nb.rs/Article.aspx?id=1820-02141400047T#.YTHSnJoza71
    Licence document URL: https://repositori.urv.cat/ca/proteccio-de-dades/
    Papper original source: Computer Science And Information Systems. 11 (2): 859-880
    APA: Terceno, Antonio; Gloria Barbera-Marine, M.; Vigier, Hernan; Laumann, Yanina; (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
    Article's DOI: 10.2298/CSIS121222047T
    Entity: Universitat Rovira i Virgili
    Journal publication year: 2014
    Publication Type: Journal Publications
  • Keywords:

    Computer Science (Miscellaneous),Computer Science, Information Systems,Computer Science, Software Engineering
    Risk
    Prediction
    Fuzzy regression
    Capm
    Beta coefficient
    Interdisciplinar
    General computer science
    Engenharias iii
    Computer science, software engineering
    Computer science, information systems
    Computer science (miscellaneous)
    Computer science (all)
  • Documents:

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