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Results tagged with pca
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user 26223
2
votes
0
answers
65
views
Covariance Matrix: Calculating Error [duplicate]
I am looking at a number of techniques to 'fix' my covariance matrix and make it positive semi-definite so that I can use PCA, Markowitz portfolio optimisation, etc. …
- 81
2
votes
0
answers
78
views
Reduced rank / matrix factorisation techniques and their uses in portfolio optimisation?
For example, PCA might be used to reduce the number of components you are dealing with or to suggestion correlation between by doing clustering, what might e.g. …
- 81
1
vote
1
answer
249
views
Low-rank approximation techniques for portfolio optimisation
Say I have a portfolio of n assets, I could break these down into 2-3 principal components (using PCA) achieving say 95% of the variance. Why would this be useful though? … Despite this, I don't see how PCA or other low-rank approximation fundamentally improve portfolio optimisation beyond what the covariance matrix does. …
- 81