sampling error in the asset covariance matrix leads to systematic biases in the volatility and correlation forecasts of these …

The nearest correlation matrix problem is to find a valid (positive semidefinite) correlation matrix, R(m,m), that is … nearest to a given invalid (non-positive semidefinite) or pseudo-correlation matrix, Q(m,m); m larger than 2. In the …

In this paper, we identify partial correlation information structures that allow for simpler reformulations in … programming reformulation which explicitly captures partially known correlation information between uncertain processing times of …