Rank reduction of correlation matrices by majorization (Q4610275)

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scientific article; zbMATH DE number 7002165
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Rank reduction of correlation matrices by majorization
scientific article; zbMATH DE number 7002165

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    Rank reduction of correlation matrices by majorization (English)
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    15 January 2019
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    rank
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    correlation matrix
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    majorization
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    lognormal price processes
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