On the generalized low rank approximation of the correlation matrices arising in the asset portfolio (Q406470): Difference between revisions

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+Efficient rank reduction of correlation matrices
@@ Property / cites work: Efficient rank reduction of correlation matrices / rank @@
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+Q4917439
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+Computing the nearest correlation matrix--a problem from finance
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+A Sequential Semismooth Newton Method for the Nearest Low-rank Correlation Matrix Problem
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+Rank reduction of correlation matrices by majorization
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+A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix
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+Correlation stress testing for value-at-risk: an unconstrained convex optimization approach
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+An augmented Lagrangian dual approach for the H-weighted nearest correlation matrix problem
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+An application of the nearest correlation matrix on web document classification
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+A majorization algorithm for constrained correlation matrix approximation
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+Alternative gradient algorithms for computing the nearest correlation matrix
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+Optimal low-rank approximation to a correlation matrix
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