Timeline for How can I use PCA to estimate the variance-covariance matrix?
Current License: CC BY-SA 4.0
5 events
when toggle format | what | by | license | comment | |
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Aug 20, 2019 at 23:31 | comment | added | Michael R. Chernick | I don't accept that excuse. If you want to comment wait until you have enough reputation. | |
Aug 20, 2019 at 22:01 | comment | added | user3641187 | Wasn't able to comment on the mgilbert's answer as I'm below the reputation limit - would there be a better way to ask? I'm basically alluding to full valid portfolio reconstruction in the situation where instead of using PCA(covMatrix(assets)) we use PCA(corrMatrix(Assets)) | |
Aug 20, 2019 at 21:00 | comment | added | Michael R. Chernick | This is not a complete answer because of the "ifs" you raise. | |
Aug 20, 2019 at 20:55 | review | Late answers | |||
Aug 20, 2019 at 21:00 | |||||
Aug 20, 2019 at 20:35 | history | answered | user3641187 | CC BY-SA 4.0 |