Adjusting Positive Definite FX Covariance Matrices


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 ]


  1. Philip Kinlen (AIB)

Topic Areas

Optimization , Portfolio Theory , Stochastic Analysis


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