An Application of Principal Component Analysis to Stock Portfolio Management
Type of content
Theses / Dissertations
Publisher's DOI/URI
Thesis discipline
Economics
Degree name
Master of Commerce
Publisher
University of Canterbury. Department of economics and finance
Journal Title
Journal ISSN
Volume Title
Language
Date
2015
Authors
Yang, Libin
Abstract
This thesis investigates the application of principal component analysis to the Australian stock market using ASX200 index and its constituents from April 2000 to February 2014. The first ten principal components were retained to present the major risk sources in the stock market. We constructed portfolio based on each of the ten principal components and named these “principal portfolios
Description
Citation
Keywords
Principal component analysis (PCA), stock selection, diversification, portfolio management, systemic risk
Ngā upoko tukutuku/Māori subject headings
ANZSRC fields of research
Rights
Copyright Joy Yang