Pages that link to "Item:Q2379691"
From MaRDI portal
The following pages link to Correlation stress testing for value-at-risk: an unconstrained convex optimization approach (Q2379691):
Displaying 16 items.
- Anderson acceleration of the alternating projections method for computing the nearest correlation matrix (Q306368) (← links)
- On the generalized low rank approximation of the correlation matrices arising in the asset portfolio (Q406470) (← links)
- Robust least square semidefinite programming with applications (Q457207) (← links)
- Newton's method for computing the nearest correlation matrix with a simple upper bound (Q620444) (← links)
- An inexact spectral bundle method for convex quadratic semidefinite programming (Q694539) (← links)
- A majorization algorithm for constrained correlation matrix approximation (Q847204) (← links)
- Limited memory BFGS algorithm for the matrix approximation problem in Frobenius norm (Q2176186) (← links)
- A projected semismooth Newton method for problems of calibrating least squares covariance matrix (Q2275573) (← links)
- Restoring definiteness via shrinking, with an application to correlation matrices with a fixed block (Q2805267) (← links)
- Bounds for the distance to the nearest correlation matrix (Q2818268) (← links)
- Decomposition Methods for Sparse Matrix Nearness Problems (Q3456880) (← links)
- A new methodology to create valid time-dependent correlation matrices <i>via</i> isospectral flows (Q5110266) (← links)
- Adjusting covariance matrix for risk management (Q5139262) (← links)
- Stress testing correlation matrix: a maximum empirical likelihood approach (Q5222510) (← links)
- A Black–Litterman approach to correlation stress testing (Q5245918) (← links)
- (Q5324635) (← links)
