Correlation matrices with the Perron Frobenius property

MaRDI QIDQ4568087zbMATH OpenFDO

Authors Phelim Boyle, Thierno B. N'Diaye

Publication date 15 June 2018

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zbMATH Keywords

correlation matrixPerron-Frobenius theorypositive eigenvector

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Portfolio theory (91G10) Positive matrices and their generalizations; cones of matrices (15B48)

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Cites work

• scientific article; zbMATH DE number 3779399 (Why is no real title available?)
• scientific article; zbMATH DE number 6125590 (Why is no real title available?)
• Cauchy's interlace theorem and lower bounds for the spectral radius
• Linear operators preserving correlation matrices
• On Perron-Frobenius property of matrices having some negative entries
• On matrices with Perron--Frobenius properties and some negative entries
• Perron-Frobenius theorem for matrices with some negative entries
• Positive weights on the efficient frontier
• Short Positions in the First Principal Component Portfolio
• Sign patterns that allow eventual positivity
• Statistical arbitrage in the US equities market
• Two characterizations of matrices with the Perron-Frobenius property

Cited in

(6)

• A characterization of positive matrices
• Florentine rows or left-right shifted permutation matrices with cross- correlation values \(\leq 1\)
• scientific article; zbMATH DE number 2188365 (Why is no real title available?)
• The shape of partial correlation matrices
• Correlations whose squares are perspectivities
• Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property

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