Rank reduction of correlation matrices by majorization

DOI10.1080/14697680400016182zbMath1405.91647OpenAlexW3023814688MaRDI QIDQ4610275

Raoul Pietersz, Patrick J. F. Groenen

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://repub.eur.nl/pub/1202

zbMATH Keywords

rankmajorizationcorrelation matrixlognormal price processes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

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Uses Software

• Matlab

Cites Work

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