Systematic and multifactor risk models revisited

Published 18 Dec 2013 in q-fin.RM, cs.CE, math.LO, q-fin.CP, and stat.ML | (1312.5271v1)

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.

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