Systematic and multifactor risk models revisited

Systematic and multifactor risk models are revisited via methods which were already successfully developed in signal processing and in automatic control. The results, which bypass the usual criticisms on those risk modeling, are illustrated by several successful computer experiments.

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Year of publication:	2013-12
Authors:	Fliess, Michel ; Join, Cédric
Institutions:	HAL
Subject:	Systematic risk \| market risk \| multifactor risk \| beta \| alpha \| trend \| volatility \| nonstandard analysis

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://hal-polytechnique.archives-ouvertes.fr/hal-00920175 Published - Presented, First Paris Financial Management Conference, 2013, Paris, France
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010898688