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Theoretical and Applied Economics
No. 4 / 2014 (593)

Using the regression model for the portfolios analysis and management

Constantin ANGHELACHE
Bucharest University of Economic Studies, “Artifex” University of Bucharest, Romania
Mădălina Gabriela ANGHEL
“Artifex” University of Bucharest, Romania

Abstract. In the frame of this article we submitted the practical possibilities to analyse the stock market activity in Romania, by means of the linear regression model. Thus, the study is focusing on the existing correlations between the yield of a portfolio formed by ten financial assets issued by companies quoted on the main market at the Bucharest Stock Exchange and the overall evolution of the capital market in Romania, expressed with the help of the Bucharest Exchange Trading index. A linear regression model implies that the methods used for estimating the two parameters, the methods applied for testing the properties of the regression model estimators as well as the main aspects concerning the utilization of the regression model in making predictions are well known.

Keywords: linear regression, financial instruments portfolio, BET index, yields, correlation coefficient.

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