On the generalized low rank approximation of the correlation matrices arising in the asset portfolio (Q406470)
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scientific article; zbMATH DE number 6341224
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| English | On the generalized low rank approximation of the correlation matrices arising in the asset portfolio |
scientific article; zbMATH DE number 6341224 |
Statements
On the generalized low rank approximation of the correlation matrices arising in the asset portfolio (English)
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8 September 2014
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generalized low rank approximation
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correlation matrix
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asset portfolio
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feasible set
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conjugate gradient algorithm
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0.8376384973526001
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0.8284400701522827
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0.7942979335784912
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0.7904453873634338
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0.7728134393692017
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