Category Archives: PCA

Excerpt, Part II: Quantitative Investment Portfolio Analytics In R

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A couple of weeks back I published the first part of a full-chapter excerpt from my new book, Quantitative Investment Portfolio Analytics In R: An Introduction To R For Modeling Portfolio Risk and Return. Here’s the second half of this two-part excerpt of Chapter 5, which reviews the basics for factor analysis via R code. The chapter […]

Building A “Market” Portfolio With Statistical Factor Weights

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Building a “market portfolio” has obvious benefits for portfolio design. The asset allocation is relatively objective in the sense that Mr. Market chooses the weights. History suggests this is a competitive strategy. Even if it’s not slavishly followed, market weights can be useful for guidance in portfolio design and management. But the necessary task of […]