There is a growing need for the ability to specify and generate correlated random variables as primitive inputs to stochastic models. Motivated by this need, several authors have explored the ...

Random Matrix Theory (RMT) has emerged as an indispensable framework for understanding the statistical properties of matrices whose entries are determined by probabilistic processes. Initially ...

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 ...