Systematic risk analysis: first steps towards a new definition of beta - Département d'informatique Accéder directement au contenu
Communication Dans Un Congrès Année : 2009

Systematic risk analysis: first steps towards a new definition of beta

Résumé

We suggest a new model-free definition of the beta coefficient, which plays an important rôle in systematic risk management. This setting, which is based on the existence of trends for financial time series via nonstandard analysis (Fliess M., Join C.: A mathematical proof of the existence of trends in financial time series, Proc. Int. Conf. Systems Theory: Modelling, Analysis and Control, Fes, 2009, online: http://hal.inria.fr/inria-00352834/en/) leads to convincing computer experiments which are easily implementable.
Fichier principal
Vignette du fichier
BETA.pdf (1021.19 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

inria-00425077 , version 1 (19-10-2009)

Identifiants

  • HAL Id : inria-00425077 , version 1

Citer

Michel Fliess, Cédric Join. Systematic risk analysis: first steps towards a new definition of beta. Cognitive Systems with Interactive Sensors, COGIS'09, SEE, Nov 2009, Paris, France. ⟨inria-00425077⟩
884 Consultations
883 Téléchargements

Partager

Gmail Facebook X LinkedIn More