An EZI method to reduce the rank of a correlation matrix in financial modelling

Massimo Morini & Nick Webber

Year of publication:	2006
Authors:	Morini, Massimo ; Webber, Nick
Published in:	Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 13.2006, 4, p. 309-331
Subject:	Portfolio-Management \| Portfolio selection \| Korrelation \| Correlation \| Derivat \| Derivative \| Schätzung \| Estimation \| Theorie \| Theory \| Großbritannien \| United Kingdom

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