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文件名称：mean-risk_portfolio_optimization_with_prior_PCA-ba.pdf
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更新时间：2023-10-02 02:13:07
pca
In the p dimensional space formed by p asset returns, PCA finds the most important k directions that capture the most important variations in the given returns of p assets. Usually, k is less than p. Therefore, by using PCA you can decompose the p asset returns into the k factors, which greatly redu