Linear Optimization in C (Ω) and Portfolio Insurance

DOI10.1080/0233193031000079829zbMath1029.90040OpenAlexW2128658006MaRDI QIDQ4430671

Ioannis A. Polyrakis

Publication date: 12 October 2003

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/0233193031000079829

zbMATH Keywords

portfolio insuranceminimal lattice subspaceminimization under linear inequalities

Mathematics Subject Classification ID

Linear programming (90C05) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Spaces defined by inductive or projective limits (LB, LF, etc.) (46A13)

Related Items (4)

Computational methods for option replication ⋮ Computation of vector sublattices and minimal lattice-subspaces of \(\mathbb R^k\): applications in finance ⋮ Maximal submarkets that replicate any option ⋮ Computational methods in lattice-subspaces of \(C[a,b\) with applications in portfolio insurance]

Cites Work

• Portfolio dominance and optimality in infinite security markets
• Minimum-cost portfolio insurance
• The cheapest hedge.
• Minimal lattice-subspaces
• Finite-dimensional lattice-subspaces of 𝐶(Ω) and curves of ℝⁿ

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