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

  • Datos identificativos

    Identificador: imarina:5127617
    Autores:
    Terceno, AntonioGloria Barbera-Marine, M.Vigier, HernanLaumann, Yanina
    Resumen:
    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.
  • Otros:

    Autor según el artículo: Terceno, Antonio; Gloria Barbera-Marine, M.; Vigier, Hernan; Laumann, Yanina;
    Departamento: Gestió d'Empreses
    Autor/es de la URV: Barberà Mariné, Maria Glòria / LAUMANN, YANINA MARIELA / Terceño Gómez, Antonio / Vigier, Hernan Pedro
    Palabras clave: Risk Prediction Fuzzy regression Capm Beta coefficient
    Resumen: 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.
    Áreas temáticas: Interdisciplinar General computer science Engenharias iii Computer science, software engineering Computer science, information systems Computer science (miscellaneous) Computer science (all)
    Acceso a la licencia de uso: https://creativecommons.org/licenses/by/3.0/es/
    Direcció de correo del autor: hernanpedro.vigier@urv.cat gloria.barbera@urv.cat gloria.barbera@urv.cat antonio.terceno@urv.cat antonio.terceno@urv.cat
    Identificador del autor: 0000-0003-2578-1301 0000-0003-2578-1301 0000-0001-5348-8837 0000-0001-5348-8837
    Fecha de alta del registro: 2024-09-07
    Versión del articulo depositado: info:eu-repo/semantics/publishedVersion
    URL Documento de licencia: https://repositori.urv.cat/ca/proteccio-de-dades/
    Referencia al articulo segun fuente origial: Computer Science And Information Systems. 11 (2): 859-880
    Referencia de l'ítem segons les normes 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
    Entidad: Universitat Rovira i Virgili
    Año de publicación de la revista: 2014
    Tipo de publicación: Journal Publications
  • Palabras clave:

    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)
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