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zbMath1238.65032MaRDI QIDQ3224156

Jun-Feng Yin, Yu-Mei Huang

Publication date: 29 March 2012

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

convergence numerical experiments finance risk management nonnegative matrix factorization nearest correlation matrix multiplicative update algorithm

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Measures of association (correlation, canonical correlation, etc.) (62H20) Numerical solutions to overdetermined systems, pseudoinverses (65F20)

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On the generalized low rank approximation of the correlation matrices arising in the asset portfolio ⋮ Alternative gradient algorithms for computing the nearest correlation matrix

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