There are N data sets in periods occurring weekly/monthly, across a 10-year historical timeline. In each period, five dates are observed (labelled a to e), where a denotes the day the period ...
Let's assume we have a portfolio containing large number (~500) of risk factors. We want to simulate the portfolio dynamics. PCA based simulation would be faster as we can reduce the dimensionality. ...
While I spend most of my StackExchange time on MathematicaSE, I'm in the business and follow the questions and answers on this site with great interest. Recently questions like the following (and ...