Systematic and multifactor risk models revisited
Risk Management
2013-12-19 v1 Computational Engineering, Finance, and Science
Logic
Computational Finance
Machine Learning
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.
Cite
@article{arxiv.1312.5271,
title = {Systematic and multifactor risk models revisited},
author = {Michel Fliess and Cédric Join},
journal= {arXiv preprint arXiv:1312.5271},
year = {2013}
}
Comments
First Paris Financial Management Conference, Paris : France (2013)