On the generalized low rank approximation of the correlation matrices arising in the asset portfolio
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Publication:406470
DOI10.1016/j.laa.2014.07.026zbMath1352.65128arXiv1812.04228OpenAlexW2048558317MaRDI QIDQ406470
Xinjun Zhang, Jianchao Bai, Maojun Zhang, Xue-Feng Duan
Publication date: 8 September 2014
Published in: Linear Algebra and its Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1812.04228
conjugate gradient algorithmcorrelation matrixfeasible setasset portfoliogeneralized low rank approximation
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