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Computing the Nearest Correlation Matrix—A Problem from Finance Nicholas J. Higham[removed]MIMS EPrint: [removed]
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Document Date: 2006-06-01 12:02:18

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File Size: 272,67 KB

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United Kingdom / /

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Mathematics The University of Manchester Manchester / University of Manchester / Mathematics The University of Manchester Reports / Manchester Institute / /

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finance industry / putative solution / explicit solution / inner product / finance application / linear systems / /

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MIMS Secretary School / Mathematical Sciences School / Department of Mathematics / University of Manchester Reports / Institute for Mathematical Sciences / U.S. Securities and Exchange Commission / Engineering and Physical Sciences Research Council / University of Manchester Manchester / Manchester Institute / /

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Nicholas J. Higham / Wells / Ai / Hong / Hayden / /

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