On the generalized low rank approximation of the correlation matrices arising in the asset portfolio

DOI10.1016/J.LAA.2014.07.026zbMATH Open1352.65128arXiv1812.04228OpenAlexW2048558317MaRDI QIDQ406470FDOQ406470

Xinjun Zhang, Jianchao Bai, Xuefeng Duan, Maojun Zhang

Publication date: 8 September 2014

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Abstract: In this paper, we consider the generalized low rank approximation of the correlation matrices problem which arises in the asset portfolio. We first characterize the feasible set by using the Gramian representation together with a special trigonometric function transform, and then transform the generalized low rank approximation of the correlation matrices problem into an unconstrained optimization problem. Finally, we use the conjugate gradient algorithm with the strong Wolfe line search to solve the unconstrained optimization problem. Numerical examples show that our new method is feasible and effective.

Full work available at URL: https://arxiv.org/abs/1812.04228

Recommendations

• Optimal low-rank approximation to a correlation matrix
• A majorization algorithm for constrained correlation matrix approximation
• Rank reduction of correlation matrices by majorization
• Efficient rank reduction of correlation matrices
• A feasible filter method for the nearest low-rank correlation matrix problem

zbMATH Keywords

correlation matrixconjugate gradient algorithmfeasible setasset portfoliogeneralized low rank approximation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Special matrices (15B99)

Cites Work

• Computing the nearest correlation matrix--a problem from finance
• Rank reduction of correlation matrices by majorization
• A majorization algorithm for constrained correlation matrix approximation
• Efficient rank reduction of correlation matrices
• A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix
• Alternative gradient algorithms for computing the nearest correlation matrix
• Optimal low-rank approximation to a correlation matrix
• A Sequential Semismooth Newton Method for the Nearest Low-rank Correlation Matrix Problem
• Correlation stress testing for value-at-risk: an unconstrained convex optimization approach
• An augmented Lagrangian dual approach for the H-weighted nearest correlation matrix problem
• An application of the nearest correlation matrix on web document classification
• A projected semismooth Newton method for problems of calibrating least squares covariance matrix
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (6)

• An efficient numerical method for condition number constrained covariance matrix approximation
• A class of multilevel structured low-rank approximation arising in material processing
• A novel method for a class of structured low-rank minimizations with equality constraint
• Optimal low-rank approximation to a correlation matrix
• A dual active-set proximal Newton algorithm for sparse approximation of correlation matrices
• Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property

This page was built for publication: On the generalized low rank approximation of the correlation matrices arising in the asset portfolio

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q406470)