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An Application of Principal Component Analysis to Stock Portfolio Management

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

Identiferoai:union.ndltd.org:canterbury.ac.nz/oai:ir.canterbury.ac.nz:10092/10293
Date January 2015
CreatorsYang, Libin
PublisherUniversity of Canterbury. Department of economics and finance
Source SetsUniversity of Canterbury
LanguageEnglish
Detected LanguageEnglish
TypeElectronic thesis or dissertation, Text
RightsCopyright Joy Yang, http://library.canterbury.ac.nz/thesis/etheses_copyright.shtml
RelationNZCU

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