摘要
主成分分析法在风险价值(VaR)的计算中可有效地减小问题计算的规模。本文研究了基于主成分分析的投资组合VaR的计算以及由于市场因子的扰动对计算规模的影响,讨论了市场因子存在扰动时主成分个数的变化,给出了不改变主成分个数的扰动界的估计。
The scale of calculated VaR （Value at Risk） can be decreased based on principal component analysis. In this paper, we study the variation of the scale in calculated portfolio＇s VaR caused by the market factors＇s perturbation using principal component analysis, and we focus on the variation of the principal component number caused by the disturbance of the market factor, the boundary of the disturbance of the market factors are given.
出处
《工程数学学报》
CSCD
北大核心
2005年第5期815-820,共6页
Chinese Journal of Engineering Mathematics
基金
国家自然科学基金重大项目(10231060).
关键词
主成分分析
VAR
市场因子
principal component analysis
VaR
market factor
