Browsing Kandidatuppsatser i finansiell ekonomi by Subject "PCA"

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Principal Component Analysis and the Cross-Sectional Variation of Returns

Ramovic, Armin; Åkerman, Mikael (2021-06-23)

We utilize Principal Component Analysis (PCA), a dimensionality reduction technique, on a set of 142 risk factors, including macroeconomic factors, proposed in financial literature to construct factor models with high ...