Tagged Questions
0
votes
2answers
142 views
Interpretation of PCs
I have computed PC1 and PC2 wts on future contracts derived from cumulative log differences. How can I use them to get back the theoretical price of each contract using those 2 pcs? Thanks in ...
4
votes
2answers
358 views
How to make the final Interpretation of PCA?
I have question regarding final loading of data back to original variables.
So for example:
I have 10 variable from a,b,c....j using returns for last 300 days i got return matrix of 300 X 10.
...
7
votes
1answer
989 views
Why is the first principal component a proxy for the market portfolio, and what other proxies exist?
Let's say that I have a universe of stocks from a certain sector. I want to compute the market portfolio of this sector. Beta is the covariance between each stock and the market. But how do you ...
