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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Krause, D.; Scherer, M.; Schwinn, J.; Werner, R. 
Titel:
Membership testing for Bernoulli and tail-dependence matrices 
Abstract:
Testing a given matrix for membership in the family of Bernoulli matrices is a longstanding problem, the many applications of Bernoulli vectors in computer science, finance, medicine, and operations research emphasize its practical relevance. A novel approach towards this problem was taken by [Fiebig et al., 2017] for low-dimensional settings d≤6. For the first time, they exploit the close relationship between the Bernoulli polytope (also known as correlation polytope) and the...    »
 
Stichworte:
Bernoulli-compatible matrix, tail-dependence matrix, column generation, binary quadratic programming 
Zeitschriftentitel:
Working Paper 
Jahr:
2017 
Sprache:
en 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik