finding nearest positive semi-definite correlation matrix

Is there an R function or DLL that calculates a nearest positive semi-definite correlation matrix?

Finding the nearest positive semi-definite matrix is a 开发者_运维问答well-documented common problem in portfolio construction.

NAGS includes a function but the library requires a license.

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I think nearcor in the sfsmisc package uses the same algorithm as that NAG routine you link to.