Computational methods in lattice-subspaces of \(C[a,b]\) with applications in portfolio insurance

DOI10.1016/j.amc.2007.11.002zbMath1136.91447OpenAlexW1964069211MaRDI QIDQ929435

Vasilios N. Katsikis

Publication date: 17 June 2008

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

Full work available at URL: https://doi.org/10.1016/j.amc.2007.11.002

zbMATH Keywords

computational methodsMATLABportfolio insurancepositive basislattice-subspaces

Mathematics Subject Classification ID

Related Items (5)

Computational methods for option replication ⋮ Time-varying minimum-cost portfolio insurance under transaction costs problem via beetle antennae search algorithm (BAS) ⋮ Computation of vector sublattices and minimal lattice-subspaces of \(\mathbb R^k\): applications in finance ⋮ A heuristic process on the existence of positive bases with applications to minimum-cost portfolio insurance in \(C[a, b\)] ⋮ A Matlab-based rapid method for computing lattice-subspaces and vector sublattices of \(\mathbb R^n\): applications in portfolio insurance

Uses Software

• Matlab

Cites Work

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

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