<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>1665-5346</journal-id>
<journal-title><![CDATA[Revista mexicana de economía y finanzas]]></journal-title>
<abbrev-journal-title><![CDATA[Rev. mex. econ. finanz]]></abbrev-journal-title>
<issn>1665-5346</issn>
<publisher>
<publisher-name><![CDATA[Instituto Mexicano de Ejecutivos de Finanzas A.C.]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S1665-53462020000100001</article-id>
<article-id pub-id-type="doi">10.21919/remef.v15i1.446</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[Hierarchical PCA and Applications to Portfolio Management]]></article-title>
<article-title xml:lang="es"><![CDATA[PCA jerárquico y aplicaciones a la gestión de cartera]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Avellaneda]]></surname>
<given-names><![CDATA[Marco]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Courant Institute of Mathematical Sciences  ]]></institution>
<addr-line><![CDATA[ NYU]]></addr-line>
<country>USA</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>03</month>
<year>2020</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>03</month>
<year>2020</year>
</pub-date>
<volume>15</volume>
<numero>1</numero>
<fpage>1</fpage>
<lpage>16</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S1665-53462020000100001&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S1665-53462020000100001&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S1665-53462020000100001&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract It is widely known that the common risk-factors derived from PCA beyond the first eigenportfolio are generally difficult to interpret and thus to use in practical portfolio management. We explore an alternative approach (HPCA) which makes strong use of the partition of the market into sectors. We show that this approach leads to no loss of information with respect to PCA in the case of equities (constituents of the S&amp;P 500) and also that the associated common factors admit simple interpretations. The model can also be used in markets in which the sectors have asynchronous price information, such as single-name credit default swaps, generalizing the works of Cont and Kan (2011) and Ivanov (2016).]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen Es ampliamente conocido que los factores de riesgo comunes derivados del PCA más allá de la primera eigenportafolio son generalmente difíciles de interpretar y, por lo tanto, de utilizar en la gestión práctica de la cartera. Exploramos un enfoque alternativo (HPCA) que hace un fuerte uso de la partición del mercado en sectores. Demostramos que este enfoque no conduce a la pérdida de información con respecto al PCA en el caso de la renta variable (constituidos por el S&amp;P 500) y también que los factores comunes asociados admiten interpretaciones simples. El modelo también se puede utilizar en mercados en los que los sectores tienen información asincrónica de precios, como single-name swaps de incumplimiento de crédito, generalizando las obras de Cont y Kan (2011) e Ivanov (2016).]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[C02]]></kwd>
<kwd lng="en"><![CDATA[C65]]></kwd>
<kwd lng="en"><![CDATA[G24]]></kwd>
<kwd lng="en"><![CDATA[returns]]></kwd>
<kwd lng="en"><![CDATA[blocks]]></kwd>
<kwd lng="en"><![CDATA[PCA]]></kwd>
<kwd lng="en"><![CDATA[HPCA]]></kwd>
<kwd lng="en"><![CDATA[portfolio]]></kwd>
<kwd lng="es"><![CDATA[C02]]></kwd>
<kwd lng="es"><![CDATA[C65]]></kwd>
<kwd lng="es"><![CDATA[G24]]></kwd>
<kwd lng="es"><![CDATA[rendimiento]]></kwd>
<kwd lng="es"><![CDATA[bloques]]></kwd>
<kwd lng="es"><![CDATA[PCA]]></kwd>
<kwd lng="es"><![CDATA[HPCA]]></kwd>
<kwd lng="es"><![CDATA[portafolio]]></kwd>
</kwd-group>
</article-meta>
</front><back>
<ref-list>
<ref id="B1">
<label>1</label><nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Avellaneda]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Lee]]></surname>
<given-names><![CDATA[JH]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Statistical arbitrage in the US equities market]]></article-title>
<source><![CDATA[Quantitative Finance]]></source>
<year>2010</year>
<volume>10</volume>
<numero>7</numero>
<issue>7</issue>
<page-range>761-82</page-range></nlm-citation>
</ref>
<ref id="B2">
<label>2</label><nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Boyle]]></surname>
<given-names><![CDATA[Phelim P.]]></given-names>
</name>
</person-group>
<source><![CDATA[Positive Weights on the Efficient Frontier]]></source>
<year>2012</year>
<publisher-name><![CDATA[SSRN]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B3">
<label>3</label><nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Cont]]></surname>
<given-names><![CDATA[R]]></given-names>
</name>
<name>
<surname><![CDATA[Kan]]></surname>
<given-names><![CDATA[Y.H.]]></given-names>
</name>
</person-group>
<source><![CDATA[Statistical Modeling of Credit Default Swap Portfolios]]></source>
<year>2011</year>
<publisher-name><![CDATA[SSRN]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B4">
<label>4</label><nlm-citation citation-type="">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Dobi]]></surname>
<given-names><![CDATA[Doris]]></given-names>
</name>
</person-group>
<source><![CDATA[Modeling Volatility Risk in Equity Options A Cross-Sectional Approach, Scholars&#8217; Press]]></source>
<year>2018</year>
<publisher-loc><![CDATA[NYU ]]></publisher-loc>
</nlm-citation>
</ref>
<ref id="B5">
<label>5</label><nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Ivanov]]></surname>
<given-names><![CDATA[S]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Initial margin estimations for credit default swap portfolios]]></article-title>
<source><![CDATA[RISK Journal of Financial Market Infrastructures]]></source>
<year>2017</year>
</nlm-citation>
</ref>
<ref id="B6">
<label>6</label><nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Jollife]]></surname>
<given-names><![CDATA[I.T.]]></given-names>
</name>
</person-group>
<source><![CDATA[Principal Compoment Analysis]]></source>
<year>2002</year>
<edition>2nd</edition>
<publisher-loc><![CDATA[New York ]]></publisher-loc>
<publisher-name><![CDATA[Springer]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B7">
<label>7</label><nlm-citation citation-type="">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Laloux]]></surname>
<given-names><![CDATA[L.]]></given-names>
</name>
<name>
<surname><![CDATA[Cizeau]]></surname>
<given-names><![CDATA[P.]]></given-names>
</name>
<name>
<surname><![CDATA[Potters]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Boucheaud]]></surname>
<given-names><![CDATA[J.-P.]]></given-names>
</name>
</person-group>
<source><![CDATA[Random matrix Theory and Financial Correlations, Mathematical Methods in Applied Sciences]]></source>
<year>2000</year>
</nlm-citation>
</ref>
<ref id="B8">
<label>8</label><nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Litterman]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
<name>
<surname><![CDATA[Scheinkman]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Common factors affecting bond returns]]></article-title>
<source><![CDATA[The Journal of Fixed Income]]></source>
<year>1991</year>
</nlm-citation>
</ref>
<ref id="B9">
<label>9</label><nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Shkolnik]]></surname>
<given-names><![CDATA[A.D.]]></given-names>
</name>
<name>
<surname><![CDATA[Goldberg]]></surname>
<given-names><![CDATA[L.]]></given-names>
</name>
<name>
<surname><![CDATA[Bohn]]></surname>
<given-names><![CDATA[J.R.]]></given-names>
</name>
</person-group>
<source><![CDATA[Identifying Broad and Narrow Financial Risk Factors with Convex Optimization]]></source>
<year>2016</year>
<publisher-name><![CDATA[SSRN]]></publisher-name>
</nlm-citation>
</ref>
</ref-list>
</back>
</article>
