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
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