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Abstrakty
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)
Rocznik
Strony
23--39
Opis fizyczny
Twórcy
autor
- Uniwersytet Ekonomiczny w Katowicach
Bibliografia
- Choi S.W. (2009), The Effect of Outliers on Regression Analysis: Regime Type and Foreign Direct Investment, "Quarterly Journal of Political Science", Vol. 4, pp. 153-165.
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- Kopańska-Bródka D. (2014), Optymalny portfel inwestycyjny z kryterium maksymalnej skośności, "Studia Ekonomiczne", nr 208, s. 46-58, Uniwersytet Ekonomiczny w Katowicach.
- Olkin I., Yitzhaki S. (1992), Gini Regression Analysis, "International Statistical Review", Vol. 602, pp. 185-196.
- Schechtman E., Yitzhaki S., Artsev Y. (2005), Who Does Not Respond in the Household Expenditure Survey: An Exercise in Extended Gini Regressions, mimeo, http:// ssrn.com.
- Schröder C., Yitzhaki S. (2016), Reasonable Sample Sizes for Convergence to Normality, Communications in Statistics - Simulation and Computation, 0918, pp. 1-14.
- Sharpe W.F. (1964), Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk, "Journal of Finance", Vol. 19 (September), pp. 425-442.
- Sharpe W.F. (1977), The Capital Asset Pricing Model: A 'Multi-Beta' Interpretation [in:] H. Levy, M. Sarnat (eds.), Financial Decision Making Under Uncertainty, Harcourt Brace Jovanovich, Academic Press, New York.
- Trzpiot G. (2008), O wybranej metodzie estymacji beta [in:] P. Chrzan, E. Dziwok (red.), Metody matematyczne, ekonometryczne i komputerowe w finansach i ubezpieczeniach, AE, Katowice, pp. 345-354.
- Trzpiot G. (2019), Application Quantile-Based Risk Measures in Sector Portfolio Analysis -Warsaw Stock Exchange Approach [in:] W. Tarczynski, K. Nermend (eds.), Effective Investments on Capital Markets, Springer Proceedings in Business and Economics, Springer, pp. 405-422.
- Trzpiot G. (2021), Gini Regression in the Capital Investment Risk Assessment - Sensitivity Risk Measures in Portfolio Analysis [in:] K. Jajuga, K. Najman, M. Walesiak (eds.), Data Analysis and Classification. Methods and Applications, "Studies in Classification, Data Analysis, and Knowledge Organization", s. 101-115.
- Yitzhaki S. (2015), Gini's Mean Difference Orders a Response to Leamer's Critique, "Metron", Vol. 73, pp. 31-43.
- Yitzhaki S., Schechtman E. (2013), The Gini Methodology. A Primer on a Statistical Methodology, Springer Series in Statistics, Vol. 272.
Typ dokumentu
Bibliografia
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bwmeta1.element.ekon-element-000171677923