Assets / Correlation Matrix
Completed Correlation Matrix
Compute the maximal determinant completion of a partially specified asset correlation matrix, potentially altering the specified correlations if such a completion does not exist.
References
- Georgescu DI, Higham NJ, Peters GW. 2018 Explicit solutions to correlation matrix completion problems, with an application to risk management and insurance
- Olaf Dreyer, Matrix completion and semidefinite matrices, arXiv
- van der Schans, Martin and Boer, Alex, A Heuristic for Completing Covariance And Correlation Matrices (March 14, 2013). Technical Working Paper 2014-01
post/assets/correlation/matrix/completed
Request body
Response
OK
Changes
No recorded changes to this endpoint across all 10 revisions of this API.