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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 ...

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AuthorRamovic, Armin (1)Åkerman, Mikael (1)Subjectasset pricing (1)
cross-sectional variation of returns (1)
demensionality reduction (1)machine learning (1)PCA (1)Principal Component Analysis (1)principal components (1)risk factors (1)risk premia (1)... View MoreDate Issued
2021 (1)
Has File(s)Yes (1)

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