Systematic risk analysis: first steps towards a new definition of beta
Abstract
We suggest a new model-free definition of the beta coefficient, which plays an important rôle in systematic risk management. This setting, which is based on the existence of trends for financial time series via nonstandard analysis (Fliess M., Join C.: A mathematical proof of the existence of trends in financial time series, Proc. Int. Conf. Systems Theory: Modelling, Analysis and Control, Fes, 2009, online: http://hal.inria.fr/inria-00352834/en/) leads to convincing computer experiments which are easily implementable.
Domains
Computational Finance [q-fin.CP] Portfolio Management [q-fin.PM] Modeling and Simulation Automatic Control Engineering Signal and Image Processing Signal and Image processing Risk Management [q-fin.RM] Probability [math.PR] Statistics [math.ST] Statistics Theory [stat.TH] Logic [math.LO] Computational Engineering, Finance, and Science [cs.CE]
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