基于主因子分析的投资组合风险价值计算方法

Proceedings of ICSSSM '05. 2005 International Conference on Services Systems and Services Management, 2005. Pub Date : 2005-06-13 DOI:10.1109/ICSSSM.2005.1500194

Sanping Li, Chengxian Xu, Honggang Xue

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引用次数: 0

摘要

在计算投资组合风险价值时，提出了一种降低高维随机向量维数的主因子分析法。给出了该方法的理论基础、算法和数值算例。该方法优于主成分分析法。特别是在因子F多重共线性严重的情况下，该方法的优点是明显的。

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Calculation method for portfolio's value at risk based on principal factor analysis

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.

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Proceedings of ICSSSM '05. 2005 International Conference on Services Systems and Services Management, 2005.

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