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Salvaging a Linear Correlation Matrix

version (3.6 KB) by Ahmos Sansom
Finds the nearest correlation Matrix using the Hypershere or Spectral decomposition methods


Updated 25 Jan 2010

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The solution of the nearest correlation matrix applies the hypershpere or spectral decomposition methods as outlined in Monte Carlo methods in Finance by Peter Jackel, Chapter 6.

Use CorrelationExample.m that applies a simple example for the two cases.

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MATLAB Release Compatibility
Created with R2009a
Compatible with any release
Platform Compatibility
Windows macOS Linux