Hot answers tagged


What you basically do here is a Principal Component Analysis (PCA). A good starting point in the financial sphere is Managing Diversification by Attilio Meucci (2010) Page 3: "The most natural choice of uncorrelated risk sources is provided by the principal component decomposition of the returns covariance [...] The eigenvectors define a set of N ...

Only top voted, non community-wiki answers of a minimum length are eligible