An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling

Authors: Massimo Morini ^a; Nick Webber ^b

Affiliations:	^a Cass Business School and Universita' di Milano Bicocca, Milano, Italia
	^b City University, Cass Business School, London, UK

DOI: 10.1080/13504860600658976

Publication Frequency: 6 issues per year

Published in: journal

Applied Mathematical Finance, Volume 13, Issue 4 December 2006 , pages 309 - 331

Subjects: Applied Mathematics; Business Mathematics; Finance; Financial Mathematics; Physics;

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