I liked the style of this article! I’m still a little uncertain about SVD but loving learning. I’ve used PCA in finance to break down the market returns of equities into statistical factors which are then used in a risk model. I did find these statistical factors useful during the investigation phase but it was quite difficult to have a discussion with portfolio managers about what they could or should do within their portfolios based only on statistical factors / PCA. Rahman for the write up!
Thank you for the insights. I have an episode coming up for PCA, I will try to cover these uncertainties and give a detailed breakdown on SVD as well in there 😊
I liked the style of this article! I’m still a little uncertain about SVD but loving learning. I’ve used PCA in finance to break down the market returns of equities into statistical factors which are then used in a risk model. I did find these statistical factors useful during the investigation phase but it was quite difficult to have a discussion with portfolio managers about what they could or should do within their portfolios based only on statistical factors / PCA. Rahman for the write up!
Thank you for the insights. I have an episode coming up for PCA, I will try to cover these uncertainties and give a detailed breakdown on SVD as well in there 😊