文件名称：portfolio construction using pca.pdf
文件大小：4.45MB
文件格式：PDF
更新时间：2023-10-02 02:12:09
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