Fat-tailed factors

Independent component analysis is proposed as an alternative to principal component analysis


Standard principal component analysis-based factor analysis suffers from a number of well-known problems due to the random nature of pairwise correlations of asset returns. Jan Rosenzweig analyses an alternative based on independent component analysis (ICA), where factors are identified based on their non-Gaussianity instead of their variance

Analysis of portfolio returns is usually performed with reference to the relationship between the portfolio’s returns

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here