Frigessi, A.; Løland, A.; Pievatolo, A.; Ruggeri, F. - In: Quantitative Finance 11 (2011) 7, pp. 1081-1090
The simplest way to describe the dependence for a set of financial assets is their correlation matrix. This correlation matrix can be improper when it is specified element-wise. We describe a new method for obtaining a positive definite correlation matrix starting from an improper one. The...