Minimum-cost portfolio insurance

DOI10.1016/S0165-1889(99)00091-3MaRDI QIDQ1583151zbMATH OpenFDO

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

Publication date 26 October 2000

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

zbMATH Keywords

portfolioinvestment strategylattice-subspaceincomplete derivative markets

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cites work

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

Cited in

(23)

• Minimal lattice-subspaces
• Non-marketed options, non-existence of equilibria, and nonlinear prices.
• Linear Optimization in C (Ω) and Portfolio Insurance
• Time-varying minimum-cost portfolio insurance problem via an adaptive fuzzy-power LVI-PDNN
• Pricing rules and Arrow-Debreu ambiguous valuation
• On infinite-horizon minimum-cost hedging under cone constraints
• Riesz estimators
• A heuristic process on the existence of positive bases with applications to minimum-cost portfolio insurance in \(C[a, b]\)
• Computation of vector sublattices and minimal lattice-subspaces of \(\mathbb R^k\): applications in finance
• Options on constant proportion portfolio insurance with guaranteed minimum equity exposure
• Third party funding: the minimum claim value
• A Matlab-based rapid method for computing lattice-subspaces and vector sublattices of R^n: applications in portfolio insurance
• Computational methods in lattice-subspaces of \(C[a,b]\) with applications in portfolio insurance
• Risk management strategies via minimax portfolio optimization
• The cheapest hedge.
• Multiperiod portfolio optimization with terminal liability: bounds for the convex case
• Computational methods in portfolio insurance
• scientific article; zbMATH DE number 2072560 (Why is no real title available?)
• Options strategies for international portfolios with overall risk management via multi-stage stochastic programming
• Portfolio insurance and model uncertainty
• scientific article; zbMATH DE number 5596984 (Why is no real title available?)
• Time-varying minimum-cost portfolio insurance under transaction costs problem via beetle antennae search algorithm (BAS)
• Production equilibria

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