Model PCA dla rynku akcji – studium przypadku
Modelling stock market by PCA factor model – case study

Summary/Abstract: The paper discusses the problem of developing statistical factor models describ-ing returns on stocks. PCA model utilizes limited number of orthogonal risk factors being identified as principal components of covariance or correlation matrix. The article presents theoretical assumptions of modelling and chosen results of the empirical study conducted for 50 large and medium-size firms on the Stock Exchange in Warsaw for the period 2009- -2013. The model can be applied to the classification of firms taking into account returns sensitivity with respect to risk factors as well as in performing the decomposition of invest-ment portfolio market risk.

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