A note on adjusting correlation matrices

DOI10.1080/13504860210136721zbMath1013.91096OpenAlexW2071935850MaRDI QIDQ4541610

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Publication date: 5 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860210136721

zbMATH Keywords

eigenvaluevalue-at-riskcorrelation matrixKuhn-Tucker conditions

Mathematics Subject Classification ID

Related Items (2)

Correlation stress testing for value-at-risk: an unconstrained convex optimization approach ⋮ Stress testing correlation matrix: a maximum empirical likelihood approach

Cites Work

• Simultaneous equations models in applied search theory

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