Search
Close this search box.

Equity PCA Factor Models

In this article, we continue our discussion on PCA and use it to decompose the volatility of a portfolio made of DIJA stocks. In particular, the posts shows:

  • a review of the proposed PCA approach applied to the equity space
  • calculation of principal components and analysis of the explained variation
  • results obtained by regression stocks returns on principal components
  • risk decomposition at stock level
  • examples based on three different portfolios

Find the source code for this article in the offical Github repository at the link: github.com/gbaglini/baglinifinance

gbaglini
gbaglini
Quantitative Researcher & Investment Analyst
5 2 votes
Article Rating
guest
2 Comments
Oldest
Newest Most Voted
Inline Feedbacks
View all comments
Ines
Ines
10 months ago

Thank you for the valuable insights!

Manuel
Manuel
4 months ago

Thanks Gian Luca. It’s valuable work. Keep it up!

Recent Posts

GARCH Analysis on Volatility Patterns

Volatility and Correlation Models

GARCH Analysis on Volatility Patterns

Volatility and Correlation Models

ARIMA Analysis on Stock Trends

Time Series Models

ARIMA Analysis on Stock Trends

Time Series Models

Time Series Cointegration

Time Series Models

Time Series Cointegration

Time Series Models

Subscribe to the newsletter!

* indicates required
2
0
Would love your thoughts, please comment.x
()
x