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Systematic and multifactor risk models revisited

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  • Michel Fliess

    ()
    (LIX - Laboratoire d'informatique de l'école polytechnique - CNRS : UMR7161 - Polytechnique - X, AL.I.E.N. - ALgèbre pour Identification & Estimation Numériques - ALIEN)

  • Cédric Join

    (AL.I.E.N. - ALgèbre pour Identification & Estimation Numériques - ALIEN, CRAN - Centre de recherche en automatique de Nancy - CNRS : UMR7039 - Université Henri Poincaré - Nancy I - Institut National Polytechnique de Lorraine (INPL), INRIA Lille - Nord Europe - Non-A - INRIA : LILLE - NORD EUROPE)

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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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    File URL: http://hal-polytechnique.archives-ouvertes.fr/docs/00/92/01/75/PDF/PFMC-2013.pdf
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    Bibliographic Info

    Paper provided by HAL in its series Post-Print with number hal-00920175.

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    Date of creation: Dec 2013
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    Publication status: Published - Presented, First Paris Financial Management Conference, 2013, Paris, France
    Handle: RePEc:hal:journl:hal-00920175

    Note: View the original document on HAL open archive server: http://hal-polytechnique.archives-ouvertes.fr/hal-00920175
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    Web page: http://hal.archives-ouvertes.fr/

    Related research

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

    This paper has been announced in the following NEP Reports:

    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Tofallis, Chris, 2008. "Investment volatility: A critique of standard beta estimation and a simple way forward," European Journal of Operational Research, Elsevier, Elsevier, vol. 187(3), pages 1358-1367, June.
    2. Michel Fliess & Cédric Join & Mamadou Mboup, 2010. "Algebraic change-point detection," Post-Print inria-00439226, HAL.
    3. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, American Finance Association, vol. 19(3), pages 425-442, 09.
    4. Tobias Adrian & Francesco Franzoni, 2008. "Learning about beta: time-varying factor loadings, expected returns, and the conditional CAPM," Staff Reports 193, Federal Reserve Bank of New York.
    5. Michel Fliess & Cédric Join & Frédéric Hatt, 2011. "Volatility made observable at last," Post-Print hal-00562488, HAL.
    6. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
    7. Michel Fliess & C\'edric Join & Fr\'ed\'eric Hatt, 2011. "Volatility made observable at last," Papers 1102.0683, arXiv.org.
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