{"title":"Calculation method for portfolio's value at risk based on principal factor analysis","authors":"Sanping Li, Chengxian Xu, Honggang Xue","doi":"10.1109/ICSSSM.2005.1500194","DOIUrl":null,"url":null,"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.","PeriodicalId":389467,"journal":{"name":"Proceedings of ICSSSM '05. 2005 International Conference on Services Systems and Services Management, 2005.","volume":"23 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2005-06-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Proceedings of ICSSSM '05. 2005 International Conference on Services Systems and Services Management, 2005.","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/ICSSSM.2005.1500194","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
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.
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