An Algorithm for Portfolio's Value at Risk Based on Principal Factor Analysis

机译：基于主因子分析的证券投资组合风险价值算法

获取原文

获取原文并翻译 | 示例

页面导航

摘要
著录项
相似文献
相关主题

摘要

In this paper, we propose principle 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 principle component analysis method. Especially, the advantages of the method are marked, while the factors F's multicollinearity is serious.

机译：在本文中，我们提出了主因子分析方法来减少高维随机向量的维数，以计算投资组合的风险价值。给出了该方法的理论基础，算法和数值实例。该方法优于主成分分析方法。特别地，该方法的优点是明显的，而因素F的多重共线性很严重。

著录项

来源
《International Conference on Algorithmic Applications in Management(AAIM 2005); 20050622-25; Xian(CN)》|2005年|P.381-391|共11页
会议地点 Xian(CN)
作者
Honggang Xue; Chengxian Xu; Chunping Hu;
展开▼
作者单位

School of Science, Xi'an Jiaotong University, Xi'an, 710049, Shaanxi, P. R. China;

展开▼
会议组织
原文格式 PDF
正文语种 eng
中图分类计算技术、计算机技术;
关键词
principal factor analysis; value at risk; principal component analysis; multicollinearity;

机译：主因子分析风险值主成分分析多重共线性;

相似文献

外文文献
中文文献
专利

1. Risk prediction and factors risk analysis based on IFOA-GRNN and apriori algorithms: Application of artificial intelligence in accident prevention [J] . Xie Xuecai, Fu Gui, Xue Yujingyang, Transactions of The Institution of Chemical Engineers. Process Safety and Environmental Protection, Part B . 2019,第期

机译：基于IFOA-GRNN和APRIORI算法的风险预测与因素风险分析：人工智能在事故预防中的应用
2. Partial Discharge Recognition Reliability Considering the Influence of Multi-factors Based on the Two-directional Fuzzy-weighted Two-dimensional Principal Component Analysis Algorithm [J] . Jinzhong Li, Qiaogen Zhang, Ke Wang, Electric Power Components and Systems . 2016,第1a5期

机译：基于双向模糊加权二维主成分分析算法的考虑多因素影响的局部放电识别可靠性
3. A hybrid short-term load forecasting model developed by factor and feature selection algorithms using improved grasshopper optimization algorithm and principal component analysis [J] . Salami Mesbaholdin, Sobhani Farzad Movahedi, Ghazizadeh Mohammad Sadegh Electrical engineering . 2020,第1期

机译：一种通过改进的蚱蜢优化算法和主要成分分析的因子和特征选择算法开发的混合短期负荷预测模型。
4. An Algorithm for Portfolio's Value at Risk Based on Principal Factor Analysis [C] . Honggang Xue, Chengxian Xu, Chunping Hu International Conference on Algorithmic Applications in Management . 2005

机译：基于主要因素分析的风险价值的一种算法
5. Calibration of multivariate generalized hyperbolic distributions using the EM algorithm, with applications in risk management, portfolio optimization and portfolio credit risk. [D] . Hu, Wenbo. 2005

机译：使用EM算法校准多元广义双曲线分布，并应用于风险管理，投资组合优化和投资组合信用风险。
6. Risk prediction and risk factor analysis of urban logistics to public security based on PSO-GRNN algorithm [O] . Mingjing Zhao, Shouwen Ji, Zhenlin Wei 2020

机译：基于PSO-GRNN算法的城市物流风险预测与风险因素分析
7. The application of Principal Component Analysis Algorithm to Identification of Risk Factors in PFI of Construction of Small Towns [O] . Rong Song 2015

机译：主成分分析算法在小城镇建设中识别风险因素识别

An Algorithm for Portfolio's Value at Risk Based on Principal Factor Analysis

摘要

著录项

相似文献

相关主题

期刊订阅