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Comments on: Building Equity Factors with Principal Component Analysis
https://www.calculatinginvestor.com/2013/03/01/principal-component-analysis/
Sat, 09 Jul 2016 02:31:20 +0000
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By: Danny
https://www.calculatinginvestor.com/2013/03/01/principal-component-analysis/#comment-312823
Sat, 09 Jul 2016 02:31:20 +0000http://www.calculatinginvestor.com/?p=4410#comment-312823In reply to Jerry.
It is the first three factors that he used for 3D plots but the linear combination of them (selecting optimal weights for the three factors) to obtain similar 3D plot to FF3F.
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By: Jessie
https://www.calculatinginvestor.com/2013/03/01/principal-component-analysis/#comment-182523
Tue, 04 Jun 2013 04:54:16 +0000http://www.calculatinginvestor.com/?p=4410#comment-182523My understanding is that all 25 portfolios were used for factor calculation
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By: Jerry
https://www.calculatinginvestor.com/2013/03/01/principal-component-analysis/#comment-182349
Fri, 31 May 2013 14:41:27 +0000http://www.calculatinginvestor.com/?p=4410#comment-182349I am trying to understand PCA and found this very helpful. My question is: of the 25 portfolios used, which 3 were used as the final factors?
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