Systematic and multifactor risk models revisited
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.
|Date of creation:||16 Dec 2013|
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|Note:||View the original document on HAL open archive server: https://hal-polytechnique.archives-ouvertes.fr/hal-00920175|
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