A heuristic process on the existence of positive bases with applications to minimum-cost portfolio insurance in C[a, b]

DOI10.1016/J.AMC.2018.12.044MaRDI QIDQ2008918zbMATH OpenOpenAlexFDO

Authors Vasilios N. Katsikis, Spyridon D. Mourtas

Publication date 26 November 2019

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

Full work available at URL https://doi.org/10.1016/j.amc.2018.12.044

zbMATH Keywords

minimum-cost insured portfoliopositive basesRiesz spaces

Mathematics Subject Classification ID

Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Numerical mathematical programming methods (65K05) Approximation methods and heuristics in mathematical programming (90C59) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

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• Minimum-cost portfolio insurance

Cites work

• A Matlab-based rapid method for computing lattice-subspaces and vector sublattices of R^n: applications in portfolio insurance
• A new approach to the existence of equilibria in vector lattices
• A new characterization of markets that don't replicate any option through minimal-lattice subspaces: A computational approach
• Computational methods for option replication
• Computational methods in lattice-subspaces of \(C[a,b]\) with applications in portfolio insurance
• Computational methods in portfolio insurance
• Equilibria in vector lattices without ordered preferences or uniform properness
• scientific article; zbMATH DE number 43981 (Why is no real title available?)
• Methods on Computing Positive Bases in Finite‐Dimensional Vector Sublattices. Applications in Completion of Security Markets and in the Theory of Efficient Funds.
• Minimum-cost portfolio insurance
• The Price Equilibrium Existence Problem in Topological Vector Lattices

Cited in

(6)

• Minimum-cost portfolio insurance
• Time-varying minimum-cost portfolio insurance problem via an adaptive fuzzy-power LVI-PDNN
• Computational methods in portfolio insurance
• Time-varying minimum-cost portfolio insurance under transaction costs problem via beetle antennae search algorithm (BAS)
• Time-varying mean-variance portfolio selection under transaction costs and cardinality constraint problem via beetle antennae search algorithm (BAS)
• Time-varying mean-variance portfolio selection problem solving via LVI-PDNN

Describes a project that uses

Uses Software

• Matlab

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