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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.
Cited literature [31 references]
https://hal-polytechnique.archives-ouvertes.fr/hal-00920175
Contributor : Michel Fliess <>
Submitted on : Tuesday, December 17, 2013 - 9:45:50 PM
Last modification on : Thursday, March 5, 2020 - 6:21:36 PM
Document(s) archivé(s) le : Tuesday, March 18, 2014 - 5:30:25 AM
Contributor : Michel Fliess <>
Submitted on : Tuesday, December 17, 2013 - 9:45:50 PM
Last modification on : Thursday, March 5, 2020 - 6:21:36 PM
Document(s) archivé(s) le : Tuesday, March 18, 2014 - 5:30:25 AM
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PFMC-2013.pdf
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