Computation of financial risk using principal component analysis

DOI10.3233/AF-220339MaRDI QIDQ6597644zbMATH OpenFDO

Authors Masiala Mavungu

Publication date 3 September 2024

Published in Algorithmic Finance (Search for Journal in Brave)

zbMATH Keywords

principal component analysissingular value decompositioncovariance matrixportfolio optimizationrisk analysisstock pricelinear mapsvector spacefinancial transactioneigenvalues and eigenvector

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

This page was built for publication: Computation of financial risk using principal component analysis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6597644)