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Systematic and multifactor risk models revisited

Author

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  • Michel Fliess

    (LIX - Laboratoire d'informatique de l'École polytechnique [Palaiseau] - X - École polytechnique - CNRS - Centre National de la Recherche Scientifique, 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 - UMR 9189 - Centrale Lille - 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 - UL - Université de Lorraine - CNRS - Centre National de la Recherche Scientifique)

Abstract

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
    Note: View the original document on HAL open archive server: https://polytechnique.hal.science/hal-00920175
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    File URL: https://polytechnique.hal.science/hal-00920175/document
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    References listed on IDEAS

    as
    1. Michel Fliess & C'edric Join & Fr'ed'eric Hatt, 2011. "Volatility made observable at last," Papers 1102.0683, arXiv.org.
    2. Stephen A. Ross, 2013. "The Arbitrage Theory of Capital Asset Pricing," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 1, pages 11-30, World Scientific Publishing Co. Pte. Ltd..
    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, 2012. "Preliminary remarks on option pricing and dynamic hedging," Post-Print hal-00705373, 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. Terasvirta, Timo, 2006. "Forecasting economic variables with nonlinear models," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 8, pages 413-457, Elsevier.
    8. Michel Fliess & C'edric Join, 2012. "Preliminary remarks on option pricing and dynamic hedging," Papers 1206.1504, arXiv.org.
    9. Michel Fliess & Cédric Join & Frédéric Hatt, 2011. "Volatility made observable at last," Post-Print hal-00562488, HAL.
    10. 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.
    Full references (including those not matched with items on IDEAS)

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