Minimum-cost portfolio insurance

DOI10.1016/S0165-1889(99)00091-3zbMath0967.91020MaRDI QIDQ1583151

Donald J. Brown, Jan Werner, Charalambos D. Aliprantis

Publication date: 26 October 2000

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

portfolioinvestment strategylattice-subspaceincomplete derivative markets

Mathematics Subject Classification ID

Related Items (18)

Riesz estimators ⋮ Minimal lattice-subspaces ⋮ Computational methods in portfolio insurance ⋮ Production equilibria ⋮ Time-varying minimum-cost portfolio insurance under transaction costs problem via beetle antennae search algorithm (BAS) ⋮ Options strategies for international portfolios with overall risk management via multi-stage stochastic programming ⋮ Computation of vector sublattices and minimal lattice-subspaces of \(\mathbb R^k\): applications in finance ⋮ Non-marketed options, non-existence of equilibria, and nonlinear prices. ⋮ Computational methods in lattice-subspaces of \(C[a,b\) with applications in portfolio insurance] ⋮ Pricing rules and Arrow-Debreu ambiguous valuation ⋮ A heuristic process on the existence of positive bases with applications to minimum-cost portfolio insurance in \(C[a, b\)] ⋮ Risk management strategies via minimax portfolio optimization ⋮ Linear Optimization in C (Ω) and Portfolio Insurance ⋮ A Matlab-based rapid method for computing lattice-subspaces and vector sublattices of \(\mathbb R^n\): applications in portfolio insurance ⋮ Multiperiod portfolio optimization with terminal liability: bounds for the convex case ⋮ On infinite-horizon minimum-cost hedging under cone constraints ⋮ Time-varying minimum-cost portfolio insurance problem via an adaptive fuzzy-power LVI-PDNN ⋮ The cheapest hedge.

Cites Work

• Spanning and completeness in markets with contingent claims
• Portfolio dominance and optimality in infinite security markets
• Lattice-subspaces of \(C[0,1\) and positive bases]
• Spanning, valuation and options
• Construction of a state space for interrelated securities with an application to temporary equilibrium theory
• Options and Efficiency
• Finite-dimensional lattice-subspaces of 𝐶(Ω) and curves of ℝⁿ
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