Description Usage Arguments Details Value Examples
Note that this insists upon returning a positive definite correlation matrix. We would be satisfied if it only returned a positive semi-definite matrix, but that does not seem to be an option.
1 | makePDcorr(cormat)
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cormat |
A correlation matrix for asset class returns. |
See: Higham, Nicholas J. (2002) Computing the Nearest Correlation Matrix—A Problem from Finance. IMA Journal of Numerical Analysis, 22 (3). pp. 329-343. ISSN 0272-4979 http://eprints.ma.man.ac.uk/232/
cormat if correlation matrix is positive definite, FALSE if not.
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