Pietersz, R.; Groenen, P.J.F. - Erasmus University Rotterdam, Econometric Institute - 2004
dependent on a large number of assets, where the asset prices are modelled as correlated log-normal processes. … as correlated log-normal processes.
Key words: rank, correlation matrix, majorization, lognormal price pro-
cesses
JEL … asset prices. Each of the asset prices is modelled as a
log-normal martingale under its respective forward measure …