Systematic and multifactor risk models revisited - Inria - Institut national de recherche en sciences et technologies du numérique Access content directly
Conference Papers Year : 2013

Systematic and multifactor risk models revisited

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.

Domains

Risk Management [q-fin.RM] Computational Finance [q-fin.CP] Computational Engineering, Finance, and Science [cs.CE] Other Statistics [stat.ML] Logic [math.LO]
Fichier principal
Vignette du fichier
PFMC-2013.pdf (572.5 Ko) Télécharger le fichier
Origin : Files produced by the author(s)

Michel Fliess  : Connect in order to contact the contributor

https://polytechnique.hal.science/hal-00920175

Submitted on : Tuesday, December 17, 2013-9:45:50 PM

Last modification on : Friday, April 5, 2024-9:36:38 AM

Long-term archiving on: Tuesday, March 18, 2014-5:30:25 AM

Download

Dates and versions

hal-00920175 , version 1 (17-12-2013)

Identifiers

Cite

Michel Fliess, Cédric Join. Systematic and multifactor risk models revisited. First Paris Financial Management Conference, Dec 2013, Paris, France. http://khuongnguyen.free.fr/PFMC-2013/Program_Papers.pdf. ⟨hal-00920175⟩

Export

BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite

Collections

X CNRS INRIA CRAN LIX X-LIX X-DEP-INFO CRISTAL UNIV-LORRAINE INRIA2 UNIV-LILLE
1096 View
646 Download

Altmetric

Share

Gmail Facebook X LinkedIn More