Assets / Covariance Matrix
Aggregated Covariance Matrix
Compute an aggregated asset covariance matrix, obtained by replacing the diagonal blocks of a global asset covariance matrix by local asset covariance matrices and minimally altering the off-diagonal blocks so that the resulting asset covariance matrix is a valid covariance matrix.
References
- Goldberg, Lisa R. and Kercheval, Alec N. and Anderson, C. Greg and Miller, Guy and Sorge, Kathy, On the Aggregation of Local Risk Models for Global Risk Management. Journal of Risk, Vol. 8, No. 1, 2005
- Ndiaye, P., Oustry, F. & Piolle, V. Semidefinite optimisation for global risk modelling. J Asset Manag 7, 142–153 (2006)>
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