Systematic and multifactor risk models revisited
نویسندگان
چکیده
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. Michel Fliess LIX (CNRS, UMR 7161), École polytechnique, 91128 Palaiseau, France. e-mail: [email protected] Cédric Join Non-A – INRIA & CRAN (CNRS, UMR 7039), Université de Lorraine, BP 239, 54506 Vandoeuvre-lès-Nancy, France. e-mail: [email protected] M.F. & C.J. AL.I.E.N. (ALgèbre pour Identification & Estimation Numériques) S.A.S., 24-30 rue Lionnois, BP 60120, 54003 Nancy, France. e-mail: {michel.fliess, cedric.join}@alien-sas.com
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ورودعنوان ژورنال:
- CoRR
دوره abs/1312.5271 شماره
صفحات -
تاریخ انتشار 2013