IIESS 23418
INSTITUTO DE INVESTIGACIONES ECONOMICAS Y SOCIALES DEL SUR
Unidad Ejecutora - UE
artículos
Título:
Stability of Beta Coefficients of Sector and Subsector Portfolios in an Uncertain Environment
Autor/es:
ANTONIO TERCEÑO GÓMEZ; GLORIA BARBERÀ; YANINA LAUMANN; HERNÁN P. VIGIER
Revista:
COMPUTER SCIENCE AND INFORMATION SYSTEMS
Editorial:
COMSIS CONSORTIUM
Referencias:
Año: 2014 vol. 11
ISSN:
1820-0214
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.
