The solution of the nearest correlation matrix applies the hypershpere or spectral decomposition methods as outlined in Monte Carlo methods in Finance by Peter Jackel, Chapter 6.
Use CorrelationExample.m that applies a simple example for the two cases.
Ahmos Sansom (2023). Salvaging a Linear Correlation Matrix (https://www.mathworks.com/matlabcentral/fileexchange/26475-salvaging-a-linear-correlation-matrix), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Platform CompatibilityWindows macOS Linux
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!Start Hunting!