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Systematic and multifactor risk models revisited

  • Michel Fliess

    ()

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

  • 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 - Université de Lille, Sciences et Technologies - Ecole Centrale de Lille - Inria - Institut National de Recherche en Informatique et en Automatique - Université de Lille, Sciences Humaines et Sociales - CNRS - Centre National de la Recherche Scientifique, AL.I.E.N. - ALgèbre pour Identification & Estimation Numériques - ALIEN, 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)

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    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: https://hal-polytechnique.archives-ouvertes.fr/hal-00920175/document
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    Paper provided by HAL in its series Post-Print with number hal-00920175.

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    Date of creation: 16 Dec 2013
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    Publication status: Published in First Paris Financial Management Conference, Dec 2013, Paris, France. http://khuongnguyen.free.fr/PFMC-2013/Program_Papers.pdf, 2013
    Handle: RePEc:hal:journl:hal-00920175
    Note: View the original document on HAL open archive server: https://hal-polytechnique.archives-ouvertes.fr/hal-00920175
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    1. Francesco FRANZONI & Tobias ADRIAN, . "Learning about Beta: Time-Varying Factor Loadings, Expected Returns,and the Conditional CAPM," Swiss Finance Institute Research Paper Series 08-36, Swiss Finance Institute.
    2. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
    3. 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.
    4. Michel Fliess & Cédric Join & Mamadou Mboup, 2010. "Algebraic change-point detection," Post-Print inria-00439226, HAL.
    5. Michel Fliess & C\'edric Join & Fr\'ed\'eric Hatt, 2011. "Volatility made observable at last," Papers 1102.0683, arXiv.org.
    6. 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, 09.
    7. Michel Fliess & Cédric Join & Frédéric Hatt, 2011. "Volatility made observable at last," Post-Print hal-00562488, HAL.
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