Forecasting Risk and Returns: CAPM Model with Belief Functions
作者： Sutthiporn Piamsuwannakit , Songsak Sriboonchitta
DOI: 10.1007/978-3-319-13449-9_18
关键词:
摘要: This paper presents a CAPM model with belief function approach for forecasting the Integrated Oil and Gas Company (CHK) stock S&P500 index. The composed of two steps. First, we estimate systematic risk or beta coefficient in using maximum likelihood method. Second, to improve performance, incorporate likelihood-based Likelihood-based functions are calculated from historical data. data set contains 209 weekly returns during period 2010–2013. finding shows evidence on which is associated by derived distribution given market return. Finally, use method predict return particular stock.
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