Search Results - subject:"Positive semidefinite"

Efficient positive semidefinite matrix approximation by iterative optimisations and gradient descent method

Asimit, Vali; Wang, Runshi; Zhou, Feng; Rui, Zhu - In: Risks : open access journal 13 (2025) 2, pp. 1-25

the nearest valid correlation matrix that is positive semidefinite (PSD). The first method converts the PSDisation problem … with a positive semidefinite constraint and other linear constraints into iterative Linear Programmings (LPs) or Quadratic …

Persistent link: https://www.econbiz.de/10015333751

Correlation estimation in hybrid systems

Law, Baron - In: International journal of theoretical and applied … 26 (2023) 2/3, pp. 1-22

Persistent link: https://www.econbiz.de/10014365674

Applications of optimization to factorization ranks and quantum information theory

Gribling, Sander - 2019

Persistent link: https://www.econbiz.de/10012103328

Operational choices for risk aggregation in insurance: PSDization and SCR sensitivity

Milhaud, Xavier; Poncelet, Victorien; Saillard, Clement - In: Risks 6 (2018) 2, pp. 1-23

. PSDization refers to the process that forces a matrix to become positive semidefinite. For companies using copulas to aggregate …

Persistent link: https://www.econbiz.de/10011996594

Operational choices for risk aggregation in insurance : PSDization and SCR sensitivity

Milhaud, Xavier; Poncelet, Victorien; Saillard, Clement - In: Risks : open access journal 6 (2018) 2, pp. 1-23

. PSDization refers to the process that forces a matrix to become positive semidefinite. For companies using copulas to aggregate …

Persistent link: https://www.econbiz.de/10011866346

Stochastic ordering of Gini indexes for multivariate elliptical risks

Kim, Bara; Kim, Jeongsim - In: Insurance / Mathematics & economics 88 (2019), pp. 151-158

Persistent link: https://www.econbiz.de/10012105530

Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity

Boudt, Kris; Laurent, Sébastien; Lunde, Asger; … - School of Economics and Management, University of Aarhus - 2014

estimate the different parameters sequentially with as many observations as possible. The estimator is guaranteed positive … semidefinite. Monte Carlo simulations confirm good finite sample properties. In the application we forecast portfolio Value …

Persistent link: https://www.econbiz.de/10010851233

What really happens if the positive definiteness requirement on the covariance matrix of returns is relaxed in efficient portfolio selection?

Kwan, Clarence C. Y. - In: Financial markets and portfolio management 32 (2018) 1, pp. 77-110

Persistent link: https://www.econbiz.de/10011951792

Positive semidefinite integrated covariance estimation, factorizations and asynchronicity

Boudt, Kris; Laurent, Sébastien; Lunde, Asger; … - In: Journal of econometrics 196 (2017) 2, pp. 347-367

Persistent link: https://www.econbiz.de/10011818308

Inference from high-frequency data : a subsampling approach

Christensen, Kimberly; Podolskij, Mark; Thamrongrat, Nopporn - In: Journal of econometrics 197 (2017) 2, pp. 245-272

Persistent link: https://www.econbiz.de/10011818358