Alpha, Beta and Beyond

Coauthors: Carlo Pozzi, Samuele Marafin, Francesco Martinelli

We compare statistical procedures for estimating the beta coefficient in the market model. Statistical procedures (OLS regression, shrinkage, robust regression, exponential smoothing, Kalman filter) for measuring the Value at Risk of a portfolio are studied and compared.

Files

1. Download Matlab Beta Toolbox
2. Figures

File Excel with the data set and the output of the estimation procedure