Linear Optimization in C (Ω) and Portfolio Insurance (Q4430671)
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scientific article; zbMATH DE number 1990059
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| English | Linear Optimization in C (Ω) and Portfolio Insurance |
scientific article; zbMATH DE number 1990059 |
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Linear Optimization in C (Ω) and Portfolio Insurance (English)
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12 October 2003
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minimal lattice subspace
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minimization under linear inequalities
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portfolio insurance
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0.8918028
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0.88488185
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0.88041365
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0.8795385
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0.87818974
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0.86812925
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0.86468035
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0.8640025
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If a subspace \(X\) of \(C( \Omega)\), generated by finitely many linearly independent positive elements of \(C( \Omega)\) is contained in a finite dimensional minimal lattice subspace \(Y\) of \(C( \Omega)\) (i.e., minimal subspace \(Y\) with positive basis), the author proves that the problem of minimization of a positive linear functional of \(X\) in \(X\) under a finite number of linear inequalities has a solution. Such solutions are determined by solving (equivalent) linear programming problems in \({\mathbb R}^m\), where \(m\) is the dimension of \(Y.\) An important application to portfolio insurance is presented.
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