Yang, Libin2015-04-102015-04-102015http://hdl.handle.net/10092/10293http://dx.doi.org/10.26021/5235This 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 portfoliosenCopyright Joy YangPrincipal component analysis (PCA)stock selectiondiversificationportfolio managementsystemic riskTheses / Dissertations