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Hi everyone!
I am trying to replicate results from this paper. I got as far as writing some code to calculate the "eigenportfolio", however, I cannot replicate the results from Figure 3.
I appreciate that this is not the cleanest implementation, but any help will be appreciated.
My main points of confusion are:
- How many stocks were selected for the PCA?
- What is a Market eigenvalue?
- When computing equation (9) do I need to rescale Q_i such their sum=1 when adding across all i's?
- What is a principal eigenportfolio? Why is my result so different?
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