So what’s the bottom line for investors? For much of the last fifty years, an investor in money markets and other short-term instruments could earn a reasonable after-inflation return without taking ...

For a symmetric correlation matrix, the Inverse Correlation Matrix table contains the inverse of the correlation matrix, as shown in Figure 40.14. The diagonal elements of the inverse correlation ...

This is a preview. Log in through your library . Abstract Correlation matrices play a key role in many multivariate methods (e.g., graphical model estimation and factor analysis). The current state-of ...

Random sampling from a multivariate normal distribution is essential for Monte Carlo simulations in many credit risk models. For a portfolio of N obligors, standard methods usually require O(N2) ...