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.
https://hal-polytechnique.archives-ouvertes.fr/hal-00920175
Contributor : Michel Fliess
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Submitted on : Tuesday, December 17, 2013 - 9:45:50 PM
Last modification on : Wednesday, March 27, 2019 - 4:41:26 PM
Long-term archiving on: Tuesday, March 18, 2014 - 5:30:25 AM
Michel Fliess, Cédric Join. Systematic and multifactor risk models revisited. First Paris Financial Management Conference, Dec 2013, Paris, France. http://khuongnguyen.free.fr/PFMC-2013/Program_Papers.pdf. ⟨hal-00920175⟩
