Rank reduction of correlation matrices by majorization

Quantitative Finance

Volumn 4, Issue 6, 2004, Pages 649-662

  Pietersz, Raoul ^a,b   Groenen, Patrick J F ^c  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

^b ABN AMRO Corporate Research   (Netherlands)

^c ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 18444386482     PISSN: 14697688     EISSN: None     Source Type: Journal    
DOI: 10.1080/14697680400016182     Document Type: Article

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