Adjusting Positive Definite FX Covariance Matrices

Abstract

When optimising a portfolio of currencies , it is helpful to have a positive-definite (PD) covariance matrix of the foreign exchange (FX) rates. However if we wish to adjust an off diagonal element, it is very easy to lose the... [ view full abstract ]

Authors

  1. Philip Kinlen (AIB)

Topic Areas

Optimization , Portfolio Theory , Stochastic Analysis

Session

PS » Poster Presentations (11:00 - Monday, 16th July)

Presentation Files

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