Is a probabilistic modeling really useful in financial engineering?
[A-t-on vraiment besoin d'un modèle probabiliste en ingénierie financière ?]
A new standpoint on financial time series, without the use of any mathematical model and of probabilistic tools, yields not only a rigorous approach of trends and volatility, but also efficient calculations which were already successfully applied in automatic control and in signal processing. It is based on a theorem due to P. Cartier and Y. Perrin, which was published in 1995. The above results are employed for sketching a dynamical portfolio and strategy management, without any global optimization technique. Numerous computer simulations are presented.
|Date of creation:||27 May 2011|
|Date of revision:|
|Publication status:||Published in Conférence Méditerranéenne sur l'Ingénierie Sûre des Systèmes Complexes, MISC 2011, May 2011, Agadir, Morocco. 2011|
|Note:||View the original document on HAL open archive server: https://hal-polytechnique.archives-ouvertes.fr/hal-00585152v2|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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- William F. Sharpe, 1965. "Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 39, pages 119.
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