I was wondering how one should choose parameters such as "frequency" of returns (daily, monthly etc.), "time frame" (1 or 3 or 5 years of historical data etc), benchmark (same of the portfolio or the specific one of the market of each asset etc. - i.e. AAPL.US and ^GSPC.US, LUX.MI and FTSEMIB.MI) in computing beta coefficient of a given asset against a given benchmark (i.e. AAPL.US and ^GSPC.US) with simple linear regression model.
Different data providers show different beta coefficient of a same asset so is there a best practice maybe related to the personal "investment horizon"?
Please bare in mind this from the view point of estimating returns via CAPM for a better mean-variance portfolio optimization.