was working on a project and could use some help. New to the community and looking fwd to being an active part of it.
My question is, let's say we have a vector of securities V, and it trades with some correlation to another vector of securities W. I'm trying to figure out what the best way is to rebucket the risk in V to W equivalents. I tried running a PCA on V and W but am having trouble standardizing the variables. I'm also worried that I might be "overfitting" my dataset a little. Any guidance is appreciated.