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- W65132085 abstract "Abstract The simplest way to describe the dependence for a set of financial assets is their correl-ation matrix. This correlation matrix can be improper when it is specified element-wise.We describe a new method for obtaining a positive definite correlation matrix startingfrom an improper one. The expert’s opinion and trust on each pairwise correlation is de-scribed by a beta distribution. Then, by combining these individual distributions, a jointdistribution over the space of positive definite correlation matrices is obtained using theCholesky factorisation, and its mode constitutes the new proper correlation matrix. Theoptimisation is complemented by a visual representations of the entries that were mostaffected by the legalisation procedure. We also sketch a Bayesian approach to the sameproblem.Front page photo © www.clipart.com 2009.Keywords Bayesian inference, beta distribution, expert opinions,nearness problem, positive semidefinite matrixTarget groupAvailability OpenProject SFI02-RiskProject number 220302Research field Finance, insurance and commoditiesNumber of pages 19© Copyright Norwegian Computing Center" @default.
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- W65132085 date "2009-01-01" @default.
- W65132085 modified "2023-09-26" @default.
- W65132085 title "Rehabilitation of improper correlation matrices" @default.
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