IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-00920175.html
   My bibliography  Save this paper

Systematic and multifactor risk models revisited

Author

Listed:
  • 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)

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://hal-polytechnique.archives-ouvertes.fr/hal-00920175
    as

    Download full text from publisher

    File URL: https://hal-polytechnique.archives-ouvertes.fr/hal-00920175/document
    Download Restriction: no

    References listed on IDEAS

    as
    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, arXiv.org.
    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.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

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

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-00920175. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.