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.
Domaines
Finance quantitative [q-fin.CP] Gestion de portefeuilles [q-fin.PM] Modélisation et simulation Automatique Traitement du signal et de l'image [eess.SP] Traitement du signal et de l'image [eess.SP] Gestion des risques [q-fin.RM] Probabilités [math.PR] Statistiques [math.ST] Théorie [stat.TH] Logique [math.LO] Ingénierie, finance et science [cs.CE]Origine | Fichiers produits par l'(les) auteur(s) |
---|
Loading...