Systematic Risk Analysis : First Steps Towards a New Definition of Beta

We suggest a new model-free definition of the beta coefficient, which plays an important rôle in systematic risk management. This setting, which is based on the existence of trends for financial time series via nonstandard analysis (Fliess M., Join C.: A Mathematical Proof of the Existence of Trends in Financial Time Series) leads to convincing computer experiments which are easily implementable

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Year of publication:	2009
Authors:	Fliess, Michel
Publisher:	[2009]: [S.l.] : SSRN
Subject:	Betafaktor \| Beta risk \| Risiko \| Risk \| CAPM \| Definition

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 22, 2009 erstellt
Other identifiers:	10.2139/ssrn.1511280 [DOI]
Classification:	C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013153847