A heuristic process on the existence of positive bases with applications to minimum-cost portfolio insurance in \(C[a, b]\)

DOI10.1016/j.amc.2018.12.044zbMath1429.91322OpenAlexW2911057189MaRDI QIDQ2008918

Vasilios N. Katsikis, Spyridon D. Mourtas

Publication date: 26 November 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2018.12.044

zbMATH Keywords

positive basesRiesz spacesminimum-cost insured portfolio

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical mathematical programming methods (65K05) Approximation methods and heuristics in mathematical programming (90C59) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10)

Related Items

Time-varying minimum-cost portfolio insurance under transaction costs problem via beetle antennae search algorithm (BAS), Time-varying mean-variance portfolio selection under transaction costs and cardinality constraint problem via beetle antennae search algorithm (BAS), Time-varying mean-variance portfolio selection problem solving via LVI-PDNN, Time-varying minimum-cost portfolio insurance problem via an adaptive fuzzy-power LVI-PDNN

Uses Software

• Matlab

Cites Work

• Unnamed Item
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