Clustering Companies Listed on the Warsaw Stock Exchange According to Time-Varying Beta
The beta parameter is a popular tool for the evaluation of portfolio performance. The Sharpe single-index model is a simple regression model in which the stock's returns are regressed against the returns of a broader index. The beta parameter is a measure of the strength of this relation. Exten...
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| Format: | Article |
| Language: | English |
| Published: |
Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
2019-01-01
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| Series: | Ekonometria |
| Online Access: | https://journals.ue.wroc.pl/eada/article/view/898 |
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