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Systematic and multifactor risk models revisited
- Publication Year :
- 2013
-
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.<br />Comment: First Paris Financial Management Conference, Paris : France (2013)
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.1312.5271
- Document Type :
- Working Paper