Honggang Xue, Chengxian Xu, Chunping Hu. An Algorithm for Portfolio s Value at Risk Based on Principal Factor Analysis. In Nimrod Megiddo, Yinfeng Xu, Binhai Zhu, editors, Algorithmic Applications in Management, First International Conference, AAIM 2005, Xian, China, June 22-25, 2005, Proceedings. Volume 3521 of Lecture Notes in Computer Science, pages 381-391, Springer, 2005. [doi]
Abstract is missing.