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systematic and multifactor risk model

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Systematic and multifactor risk models revisited

Fliess, Michel, Join, Cédric

arXiv.org Machine LearningDec-18-2013

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.

artificial intelligence, fliess, systematic and multifactor risk model, (16 more...)

arXiv.org Machine Learning

1312.5271

Country: Europe > France (0.14)

Genre: Research Report (0.50)

Industry: Banking & Finance (0.70)

Technology: Information Technology > Artificial Intelligence (0.94)

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