Title :
Calculation method for portfolio´s value at risk based on principal factor analysis
Author :
Li, Sanping ; Xu, Chengxian ; Xue, Honggang
Author_Institution :
Fac. of Sci., Xi´´an Jiaotong Univ., China
Abstract :
In this paper, we propose principal factor analysis method to reduce the dimensions of a high dimensional random vector in calculating portfolio´s value at risk. The theoretical foundation, algorithm and numerical example of the method are given. This method outperforms the principal component analysis method. Especially, the advantages of the method are marked, while the factors F´s multicollinearity is serious.
Keywords :
investment; principal component analysis; risk analysis; calculation method; high dimensional random vector; multicollinearity; portfolio value; principal component analysis; principal factor analysis; Covariance matrix; Educational institutions; Information analysis; Instruments; Portfolios; Principal component analysis; Reactive power; Regulators; Risk analysis; Risk management;
Conference_Titel :
Services Systems and Services Management, 2005. Proceedings of ICSSSM '05. 2005 International Conference on
Print_ISBN :
0-7803-8971-9
DOI :
10.1109/ICSSSM.2005.1500194
