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Conference papers

Systematic and multifactor risk models revisited

Abstract : 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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Contributor : Michel Fliess Connect in order to contact the contributor
Submitted on : Tuesday, December 17, 2013 - 9:45:50 PM
Last modification on : Wednesday, March 23, 2022 - 3:51:21 PM
Long-term archiving on: : Tuesday, March 18, 2014 - 5:30:25 AM


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  • HAL Id : hal-00920175, version 1
  • ARXIV : 1312.5271


Michel Fliess, Cédric Join. Systematic and multifactor risk models revisited. First Paris Financial Management Conference, Dec 2013, Paris, France. ⟨hal-00920175⟩



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