Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: On the generalized low rank approximation of the correlation matrices
  arising in the asset portfolio   In this paper, we consider the generalized low rank approximation of the
correlation matrices problem which arises in the asset portfolio. We first
characterize the feasible set by using the Gramian representation together with
a special trigonometric function transform, and then transform the generalized
low rank approximation of the correlation matrices problem into an
unconstrained optimization problem. Finally, we use the conjugate gradient
algorithm with the strong Wolfe line search to solve the unconstrained
optimization problem. Numerical examples show that our new method is feasible
and effective.

19
The categories of this paper are: eess
9
The categories of this paper are: nlin
10
The categories of this paper are: q-bio
26
The categories of this paper are: bayes-an
29
The categories of this paper are: funct-an
0
The categories of this paper are: hep-ph
18
The categories of this paper are: econ
23
The categories of this paper are: solv-int
20
The categories of this paper are: acc-phys
22
The categories of this paper are: chao-dyn
36
The categories of this paper are: cmp-lg
35
The categories of this paper are: mtrl-th
5
The categories of this paper are: gr-qc
17
The categories of this paper are: q-fin
28
The categories of this paper are: alg-geom
6
The categories of this paper are: astro-ph