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Dokumenttyp:
Buchbeitrag 
Autor(en):
Schöttle, K.; Werner, R. 
Titel:
Improving the Most General Methodology to Create a Valid Correlation Matrix 
Abstract:
Jaeckel and Rebonato develop two different methods of creating valid correlation matrices: construction by hypersphere decomposition and by singular value (i.e. spectral) decomposition. Although both methods yield satisfactory results in practice, from a mathematical point of view, they both share some theoretical drawbacks. Using results from semidefinite programming (SDP) we give the most general problem formulation to compute valid correlation matrices. We present numerical results which prov...    »
 
Seitenangaben Beitrag:
701-712 
Herausgeber:
Brebbia, C.A. 
Buchtitel:
Risk Analysis IV, Management Information Systems, Vol.9 
Verlag / Institution:
Wessex 
Jahr:
2004 
Sprache:
en