Statistical foundations for assessing the difference between the classical and weighted-Gini betas

Mathematical Methods of Statistics. 2017. Vol. 26. P. 267–281.

Gribkova N., Zitikis R.

The ‘beta’ is one of the key quantities in the capital asset pricing model (CAPM). In statistical language, the beta can be viewed as the slope of the regression line fitted to financial returns on the market against the returns on the asset under consideration. The insurance counterpart of CAPM, called the weighted insurance pricing model (WIPM), gives rise to the so-called weighted-Gini beta. The aforementioned two betas may or may not coincide, depending on the form of the underlying regression function, and this has profound implications when designing portfolios and allocating risk capital. To facilitate these tasks, in this paper we develop large-sample statistical inference results that, in a straightforward fashion, imply confidence intervals for, and hypothesis tests about, the equality of the two betas.

Ключевые слова: consistency, asymptotic normality, асимптотическая нормальность, Beta, состоятельность, portfolio construction, capital allocation, weighted Gini, Бета, Построение портфеля, размещение капитала, взвешенное бета