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Systematic and multifactor risk models revisited


  • Michel Fliess

    () (LIX - Laboratoire d'informatique de l'École polytechnique [Palaiseau] - CNRS - Centre National de la Recherche Scientifique - X - École polytechnique, AL.I.E.N. - ALgèbre pour Identification & Estimation Numériques)

  • Cédric Join

    (NON-A - Non-Asymptotic estimation for online systems - Inria Lille - Nord Europe - Inria - Institut National de Recherche en Informatique et en Automatique - CRIStAL - Centre de Recherche en Informatique, Signal et Automatique de Lille (CRIStAL) - UMR 9189 - Ecole Centrale de Lille - Inria - Institut National de Recherche en Informatique et en Automatique - Institut Mines-Télécom [Paris] - Université de Lille - CNRS - Centre National de la Recherche Scientifique, AL.I.E.N. - ALgèbre pour Identification & Estimation Numériques, CRAN - Centre de Recherche en Automatique de Nancy - UHP - Université Henri Poincaré - Nancy 1 - INPL - Institut National Polytechnique de Lorraine - CNRS - Centre National de la Recherche Scientifique)


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.

Suggested Citation

  • Michel Fliess & Cédric Join, 2013. "Systematic and multifactor risk models revisited," Post-Print hal-00920175, HAL.
  • Handle: RePEc:hal:journl:hal-00920175
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    References listed on IDEAS

    1. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
    2. Michel Fliess & C'edric Join & Fr'ed'eric Hatt, 2011. "Volatility made observable at last," Papers 1102.0683,
    3. Adrian, Tobias & Franzoni, Francesco, 2009. "Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 537-556, September.
    4. Michel Fliess & Cédric Join & Frédéric Hatt, 2011. "Volatility made observable at last," Post-Print hal-00562488, HAL.
    5. Michel Fliess & Cédric Join & Mamadou Mboup, 2010. "Algebraic change-point detection," Post-Print inria-00439226, HAL.
    6. Tofallis, Chris, 2008. "Investment volatility: A critique of standard beta estimation and a simple way forward," European Journal of Operational Research, Elsevier, vol. 187(3), pages 1358-1367, June.
    7. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
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    More about this item


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

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