Extended Gini Regression Coefficient as Robust Estimator of Systematic Risk in Capital Market

• Autorzy: Grażyna Trzpiot
• Języki publikacji: EN

Abstrakty

EN

Systematic risk is the covariance between the marginal utility of capital in the analyzed portfolio and the stock return. As shown, these concepts can be measured using the assumption of linearity - we then determine the moments of the random variable - as well as departing from these assumptions. The choice of method for determining the regression is also a choice of the marginal utility of capital function as well as risk aversion. The used Gini regression methodology in the classical and extended version was compared with classical approaches in portfolio modelling. For the analysis dataset with outlier observations, the measurement of systematic risk is more efficient using this robust approach.(original abstract)

Słowa kluczowe

EN

Investment portfolio; Stock rate of returns; Regression analysis; Capital market

PL

Portfel inwestycyjny; Stopa zwrotu akcji; Analiza regresji; Rynek kapitałowy

• Czasopismo: Scientific Publications / University of Economics in Katowice
• Rocznik: 2023
• Tom: Multidimensional Data Modelling and Risk Analysis
• Strony: 23--39

Twórcy

autor

Grażyna Trzpiot

• Uniwersytet Ekonomiczny w Katowicach

Bibliografia

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Identyfikatory

DOI

10.22367/uekat.9788378758686