This paper presents an algorithm for generating correlated vectors of random numbers. The user need not fully specify the joint distribution function; instead, the user "partially specifies" only the ...

Investopedia contributors come from a range of backgrounds, and over 25 years there have been thousands of expert writers and editors who have contributed. Dr. JeFreda R. Brown is a financial ...

We introduce a valid parametric family of cross-covariance functions for multivariate spatial random fields where each component has a covariance function from a well-celebrated Matérn class. Unlike ...

Jason Fernando is a professional investor and writer who enjoys tackling and communicating complex business and financial problems. David Kindness is a Certified Public Accountant (CPA) and an expert ...

Harry Markowitz famously quipped that diversification is the only free lunch in investing. What he did not say is that this is only true if correlations are known and stable over time. Markowitz’s ...