Two Useful Techniques for Financial Modelling Problems

A technique for defining an N × N correlation matrix in terms of N - 1 parameters is presented, as well as a reliable method for parameterizing positive weights or probabilities that sum to 1.

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Year of publication:	2010
Authors:	Doust, Paul
Published in:	Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 17.2010, 3, p. 201-210
Publisher:	Taylor & Francis Journals
Subject:	Financial modelling

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008674993