<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>2448-6655</journal-id>
<journal-title><![CDATA[Análisis económico]]></journal-title>
<abbrev-journal-title><![CDATA[Anál. econ.]]></abbrev-journal-title>
<issn>2448-6655</issn>
<publisher>
<publisher-name><![CDATA[Universidad Autónoma Metropolitana, Unidad Azcapotzalco, División de Ciencias Sociales y Humanidades]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S2448-66552023000100027</article-id>
<article-id pub-id-type="doi">10.24275/uam/azc/dcsh/ae/2022v38n97/samaniego</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[CAPM-alpha estimation with robust regression vs. linear regression]]></article-title>
<article-title xml:lang="es"><![CDATA[Estimación del CAPM-alpha con regresión robusta frente a la regresión lineal]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Samaniego]]></surname>
<given-names><![CDATA[Angel]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Instituto Tecnológico y de Estudios Superiores de Occidente  ]]></institution>
<addr-line><![CDATA[San Pedro Tlaquepaque Jalisco]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>04</month>
<year>2023</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>04</month>
<year>2023</year>
</pub-date>
<volume>38</volume>
<numero>97</numero>
<fpage>27</fpage>
<lpage>37</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S2448-66552023000100027&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S2448-66552023000100027&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S2448-66552023000100027&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract Ordinary least squares (OLS) regression analysis seeks to find the relationship between variables under certain assumptions. If these assumptions are not met, the results are said to be not robust. Robust regression by optimization seeks to meet these assumptions. Both regression methods are contrasted using the following premise: past performance (CAPM-alpha) is a good estimator of future performance. Similar results were found for the study period, with linear regression outperforming robust regression. Empirically, active portfolios using the Treynor-Black methodology between 2000-2020 are used to contrast the regression methods.]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen El análisis de regresión por mínimos cuadrados ordinarios busca encontrar la relación entre variables bajo ciertos supuestos. Y en caso de no cumplirse estos, se dice que sus resultados no son robustos. La regresión robusta mediante la optimización busca cumplir estos supuestos. Se contrastan ambos métodos de regresión utilizando la siguiente premisa: el desempeño (CAPM-alpha) pasado es un buen estimador del desempeño futuro. En el periodo de estudio se encontraron resultados muy similares, donde la regresión lineal sobresale sobre la regresión robusta. Empíricamente se utilizan portafolios activos mediante la metodología de Treynor-Black entre 2000-2020 para contrastar los métodos de regresión.]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[Appraisal]]></kwd>
<kwd lng="en"><![CDATA[robust regression]]></kwd>
<kwd lng="en"><![CDATA[portfolio selection]]></kwd>
<kwd lng="en"><![CDATA[CAPM]]></kwd>
<kwd lng="es"><![CDATA[Appraisal]]></kwd>
<kwd lng="es"><![CDATA[regresión robusta]]></kwd>
<kwd lng="es"><![CDATA[selección de carteras]]></kwd>
<kwd lng="es"><![CDATA[CAPM]]></kwd>
</kwd-group>
</article-meta>
</front><back>
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