Minimum-cost portfolio insurance

DOI10.1016/S0165-1889(99)00091-3zbMATH Open0967.91020MaRDI QIDQ1583151FDOQ1583151

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)

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zbMATH Keywords

portfolioinvestment strategylattice-subspaceincomplete derivative markets

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (23)

• Minimal lattice-subspaces
• Linear Optimization in C (Ω) and Portfolio Insurance
• Non-marketed options, non-existence of equilibria, and nonlinear prices.
• 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
• Options on constant proportion portfolio insurance with guaranteed minimum equity exposure
• 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
• Third party funding: the minimum claim value
• A Matlab-based rapid method for computing lattice-subspaces and vector sublattices of \(\mathbb R^n\): 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
• Title not available (Why is that?)
• Options strategies for international portfolios with overall risk management via multi-stage stochastic programming
• Portfolio insurance and model uncertainty
• Title not available (Why is that?)
• Time-varying minimum-cost portfolio insurance under transaction costs problem via beetle antennae search algorithm (BAS)
• Production equilibria

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