risk parity stock optimization using principal component quantile simulation.pdf

所需积分/C币:9 2020-09-11 08:27:01 2.26MB PDF
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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

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