Estimate Beta Coefficient of CAPM Based on a Fuzzy Regression with Interactive Coefficients  

作　　者：Yalei Du Qiujun Lu 

机构地区：[1]College of Science, University of Shanghai for Science and Technology, Shanghai, China

出　　处：《Journal of Applied Mathematics and Physics》2015年第6期664-672,共9页应用数学与应用物理（英文）

摘　　要：In the Capital Asset Pricing Model (CAPM), beta coefficient is a very important parameter to be estimated. The most commonly used estimating methods are the Ordinary Least Squares (OLS) and some Robust Regression Techniques (RRT). However, these traditional methods make strong as sumptions which are unrealistic. In addition, The OLS method is very sensitive to extreme observations, while the RRT methods try to decrease the weights of the extreme observations which may contain substantial information. In this paper, a novel fuzzy regression method is proposed, which makes less assumptions and takes good care of the extreme observations. Simulation study and real word applications show that the fuzzy regression is a competitive method.In the Capital Asset Pricing Model (CAPM), beta coefficient is a very important parameter to be estimated. The most commonly used estimating methods are the Ordinary Least Squares (OLS) and some Robust Regression Techniques (RRT). However, these traditional methods make strong as sumptions which are unrealistic. In addition, The OLS method is very sensitive to extreme observations, while the RRT methods try to decrease the weights of the extreme observations which may contain substantial information. In this paper, a novel fuzzy regression method is proposed, which makes less assumptions and takes good care of the extreme observations. Simulation study and real word applications show that the fuzzy regression is a competitive method.

关 键 词：CAPM BETA COEFFICIENT FUZZY Regression OUTLIER 

分 类 号：O1[理学—数学]