The nearest correlation matrix problem: Solution by differential evolution method of global optimization
Year of publication: |
2007-04-14
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Authors: | Mishra, SK |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Correlation matrix | product moment | nearest | complete | positive semi-definite | majorization | hypersphere decomposition | semi-definite programming | geometric programming | Particle Swarm | Differential Evolution | Particle Swarm Optimization | Global Optimization | risk management | option pricing | financial economics | marketing | computer program | Fortran | norm | absolute | maximum | Frobenius | Chebyshev | Euclidean |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Classification: | C63 - Computational Techniques ; G00 - Financial Economics. General ; C88 - Other Computer Software ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G19 - General Financial Markets. Other |
Source: |
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Mishra, SK, (2007)
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Mishra, SK, (2007)
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Mishra, SK, (2007)
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A note on positive semi-definiteness of some non-pearsonian correlation matrices
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Global optimization of some difficult benchmark functions by cuckoo-hostco-evolution meta-heuristics
Mishra, SK, (2012)
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