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Conference Papers Year : 2013

Systematic and multifactor risk models revisited

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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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Dates and versions

hal-00920175 , version 1 (17-12-2013)

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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⟩
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