Systematic and multifactor risk models revisited

Michel Fliess (1, 2) , Cédric Join (3, 2, 4)

1 LIX - Laboratoire d'informatique de l'École polytechnique [Palaiseau]
2 AL.I.E.N. - ALgèbre pour Identification & Estimation Numériques
3 NON-A - Non-Asymptotic estimation for online systems
4 CRAN - Centre de Recherche en Automatique de Nancy

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.

Keywords: Systematic risk; market risk; multifactor risk; beta; alpha; trend; volatility; nonstandard analysis

Domains: Quantitative Finance [q-fin]; Risk Management [q-fin.RM]; Quantitative Finance [q-fin]; Computational Finance [q-fin.CP]; Computer Science [cs]; Computational Engineering, Finance, and Science [cs.CE]; Statistics [stat]; Other Statistics [stat.ML]; Mathematics [math]; Logic [math.LO]

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⟩