Producción CyT

New Techniques for Decision Making under Uncertainty - Beta Coefficients in the Brazilian Market Sectors. Fuzzy Regression vs Crisp Regression

Congreso

Autoría:

Antonio Terceño Gómez ; Gloria Barberà ; HERNAN PEDRO VIGIER ; Yanina Laumann

Fecha:

2015

Editorial y Lugar de Edición:

Universitat de Girona

ISSN:

978 84 8458 455 1

Resumen *

We consider that every decision-making process, and especially those using beta as a risk measure, is set in an uncertain environment. This works is a Continuation of the study of beta coefficients using fuzzy regressionanalysis, which begins in Terceño et al. (2011, 2014). Our objective is to use all the information provided by the market to determine the systematic risk. With the aim of incorporating every inaccuracy which accompaniesignorance about the future and the subjectivity associated with the decision making, we intend to advance in the calculation of the beta using the fuzzy regression model of Tanaka e Ishibuchi (1992) to calculate the sectorsbetas of the Brazilian Stock Market. The analysis with fuzzy regression can be applied with crisp data, uncertain or with a mixture of both. The aim of this work is, precisely, to compare the obtained results using the fuzzyregression with crisp data and uncertain data. After that, we make a comparison with the results to be obtained with the calculation of the beta by ordinary least squares. The comparison allows us to determine which of thesystems allows a better adaptation of reality. Información suministrada por el agente en SIGEVA

Palabras Clave

FUZZY REGRESSIONBETTA COEFFICIENTRISK