Numerical Methods for Portfolio Risk Estimation
In portfolio risk management, a global covariance matrix forecast often needs to be adjusted by changing diagonal blocks corresponding to specific sub-markets. Unless certain constraints are obeyed, this can result in the loss of positive definiteness of the global matrix. Imposing the proper constr...
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| Format: | Others |
| Language: | English English |
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Florida State University
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| Online Access: | http://purl.flvc.org/fsu/fd/FSU_migr_etd-0542 |