DocumentCode
1845617
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
Volume
2
fYear
2005
fDate
13-15 June 2005
Firstpage
1233
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Services Systems and Services Management, 2005. Proceedings of ICSSSM '05. 2005 International Conference on
Print_ISBN
0-7803-8971-9
Type
conf
DOI
10.1109/ICSSSM.2005.1500194
Filename
1500194
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