Package org.akutan.correlations

Provides classes for cleaning and correcting correlation matrices.

See:
Description

Class Summary

RMT	This class implements Random Matrix Theory methods for cleaning a correlation/covariance matrix and returning one which has had the noise element removed.
SpectralDecomposition	Implements the Spectral Decomposition method from the paper "The Most General Way to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes" by Rebonato and Jaekel, 1999.

Package org.akutan.correlations Description

Provides classes for cleaning and correcting correlation matrices. These include two implementations from the family of Random Matrix Theory, and one more general solution just for cleaning the matrix and ensuring it is positive semi-definite.

Package Specification

Related Documentation

For further information on the algorithms used please see

• "Portfolio Optimization and the Random Matrix Problem", Rosenow, et al, Europhysics Letters, 59, (4) pp 500-506 (2002).
• "Random matrix theory for portfolio", Sharifi, et al, Physica A 335 (2004) 629-643.
• Spectral Decomposition is from "The Most General Way to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes" by Rebonato and Jaekel, 1999

Since:

22 January 2009