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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
Formats available: HTML (English) : PDF (English)

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