An EZI method to reduce the rank of a correlation matrix in financial modelling
Massimo Morini & Nick Webber
| Year of publication: |
2006
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|---|---|
| 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
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| Subject: | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Derivat | Derivative | Schätzung | Estimation | Theorie | Theory | Großbritannien | United Kingdom |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003396206