hard · FRM Part 1
A PCA (Principal Component Analysis) of the returns of five highly correlated emerging market currencies yields the following eigenvalues: 3.8, 0.7, 0.3, 0.15, 0.05.
What proportion of the total variance is explained by the first two principal components?
- 90.0%
- 84.0%
- 14.0%
- 76.0%
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