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Quantitative Finance · Glossaire

Qu'est-ce que « Eigenportfolio » ?

Definition 3.1 Strategies I: Equities and Futures · Chapitre 3 — Residual and Principal-Component Stat Arb

An eigenportfolio is the portfolio that invests in each stock the corresponding entry of an eigenvector of the stocks’ return correlation matrix divided by the stock’s volatility, Qi(j)=vi(j)/σiQ^{(j)}_i = v^{(j)}_i/\sigma_i; the returns of the leading eigenportfolios serve as the factors of a statistical factor model.

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