Rehabilitation of improper correlation matrices

4938/Frigessi_-_Rehabilitation_of_improper_correlation_matrices.pdf

Frigessi, Arnoldo; Løland, Anders; Pievatolo, Antonio; Ruggeri, Fabrizio

January 29, 2009

SAMBA

• Filename: 4938/Frigessi_-_Rehabilitation_of_improper_correlation_matrices.pdf
• Areas: Finance, insurance and commodities
• Keywords: Bayesian inference, beta distribution, expert opinions, nearness problem, positive semidefinite matrix
• Page(s): 19
• Name and number of project: SFI02-Risk 220302
• Title: Rehabilitation of improper correlation matrices
• Author(s): Frigessi, Arnoldo; Løland, Anders; Pievatolo, Antonio; Ruggeri, Fabrizio
• Report number: SAMBA/03/09
• Published date: January 29, 2009