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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, or market, risk is one of the most studied risk models not only in financial engineering, but also in actuarial sciences, in business and corporate management, and in several other domains. It is associated to the beta (β) coefficient, which is familiar in the investment industry since Sharpe's capital asset pricing model (CAPM) [30]. The pitfalls and shortcomings of β have been detailed by a number of excellent authors.

artificial intelligence, fliess, systematic and multifactor risk model, (15 more...)

arXiv.org Machine Learning

1312.5271

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