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

Author:

Duan Xuefeng,Bai Jianchao,Zhang Maojun,Zhang Xinjun

Funder

National Natural Science Foundation of China

Natural Science Foundation of Guangxi Province

Fund for Guangxi Experiment Center of Information Science

Innovation Project of GUET Graduate Education

Innovation Project of Guangxi Graduate Education

Guangxi Key Lab of Wireless Wideband Communication and Signal Processing

Publisher

Elsevier BV

Subject

Discrete Mathematics and Combinatorics,Geometry and Topology,Numerical Analysis,Algebra and Number Theory

Reference21 articles.

1. Efficient rank reduction of correlation matrices;Grubisic;Linear Algebra Appl.,2007

2. A majorized penalty approach for calibrating rank constrained correlation matrix problems;Gao,2010

3. Analysis of structured low rank approximation as an optimization problem;Gillard;Information,2011

4. Computing the nearest correlation matrix — A problem from finance;Higham;IMA J. Numer. Anal.,2002

5. A subspace identification extension to the phase correlation method;Hoge;IEEE Trans. Med. Imaging,2003

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