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The basic question is essentially concerned with finding a factorization of the type \\(C \\approx AA^T\\) such that \\(AA^T\\) should be a low-rank approximation of \\(C\\) together with an additional nonnegativity constraint.  First, in section 2, an application from financial engineering in which the non-negative matrix factorization arises is discussed. In section 3, a counterexample for the strict equality \\(C= AA^T\\) is given. Then, in section 4, an algorithm -- based on a two step procedure -- is developed for obtaining a non-negative matrix \\(A\\) which, moreover, aims at minimizing the Frobenius norm of the matrix \\(C-AA^T\\) subject to \\(A_{ij} \\geq 0\\) and \\((AA^T)_{ii} = 1\\). 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