Portfolio Construction Using Principle Component Analysis
"Principal Components Analysis (PCA) is an important mathematical technique widely used in the world of quantitative finance. The ultimate goal of this paper is to construct a portfolio with hedging positions, which is able to outperform the SPY benchmark in terms of the Sharpe ratio. Mathemati...
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Digital WPI
2014
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| Online Access: | https://digitalcommons.wpi.edu/etd-theses/927 https://digitalcommons.wpi.edu/cgi/viewcontent.cgi?article=1926&context=etd-theses |