The nearest correlation matrix problem: Solution by differential evolution method of global optimization
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- Mishra, SK, 2009. "A note on positive semi-definiteness of some non-pearsonian correlation matrices," MPRA Paper 15725, University Library of Munich, Germany.
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KeywordsCorrelation 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;
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G00 - Financial Economics - - General - - - General
- C88 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other Computer Software
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G19 - Financial Economics - - General Financial Markets - - - Other
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-04-21 (All new papers)
- NEP-ECM-2007-04-21 (Econometrics)
- NEP-ETS-2007-04-21 (Econometric Time Series)
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