Systematic and multifactor risk models revisited
AbstractSystematic 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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Bibliographic InfoPaper provided by HAL in its series Post-Print with number hal-00920175.
Date of creation: Dec 2013
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Publication status: Published - Presented, First Paris Financial Management Conference, 2013, Paris, France
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Systematic risk; market risk; multifactor risk; beta; alpha; trend; volatility; nonstandard analysis;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-12-29 (All new papers)
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