Some properties of portfolios constructed from principal components of asset returns

Keyphrases

• Asset Returns 100%
• Principal Coordinate Analysis (PCoA) 66%
• Random Vector 66%
• Statistical Methods 33%
• Dimensionality Reduction 33%
• Statistical Properties 33%
• N-dimensional 33%
• Linear Function 33%
• Factor Model 33%
• Covariance Structure 33%

Mathematics

• Principal Components 100%
• Principal Component Analysis 66%
• Covariance Structure 33%
• Linear Function 33%
• Random Vector 33%
• N-Dimensional Random Vector 33%
• Variance 33%
• Statistical Method 33%
• Statistical Property 33%

Economics, Econometrics and Finance

• Capital Market Returns 100%
• Principal Components 100%
• Statistical Method 20%
• Factor Model 20%