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 ...
I was given the returns of a cross-asset class portfolio of ETFs and I conducted PCA to obtain factors on dates from T-n, T-3, T-2,..., T. What I would like to do is decompose the market moves from ...
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