| HAL-Inria | Publications, software ... of Inria's scientists |
Conference papers
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.
Cited literature [22 references]
https://hal.inria.fr/inria-00425077
Contributor : Michel Fliess <>
Submitted on : Monday, October 19, 2009 - 9:59:23 PM
Last modification on : Tuesday, November 24, 2020 - 2:18:20 PM
Long-term archiving on: : Wednesday, June 16, 2010 - 12:54:28 AM
Contributor : Michel Fliess <>
Submitted on : Monday, October 19, 2009 - 9:59:23 PM
Last modification on : Tuesday, November 24, 2020 - 2:18:20 PM
Long-term archiving on: : Wednesday, June 16, 2010 - 12:54:28 AM
Files
BETA.pdf
Files produced by the author(s)