Computation of vector sublattices and minimal lattice-subspaces of R^k: applications in finance
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Computation of vector sublattices and minimal lattice-subspaces of \(\mathbb R^k\): applications in finance
Computation of vector sublattices and minimal lattice-subspaces of \(\mathbb R^k\): applications in finance
Abstract: In this article we perform a computational study of Polyrakis algorithms presented in [12,13]. These algorithms are used for the determination of the vector sublattice and the minimal lattice-subspace generated by a finite set of positive vectors of R^k. The study demonstrates that our findings can be very useful in the field of Economics, especially in completion by options of security markets and portfolio insurance.
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Cites work
- scientific article; zbMATH DE number 894025 (Why is no real title available?)
- 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
- Computational methods in portfolio insurance
- Finite-dimensional lattice-subspaces of 𝐶(Ω) and curves of ℝⁿ
- Linear Optimization in C (Ω) and Portfolio Insurance
- Minimal lattice-subspaces
- Minimum-cost portfolio insurance
- The cheapest hedge.
- The completion of security markets
Cited in
(7)- The NMF problem and lattice-subspaces
- Computational methods in portfolio insurance
- Methods on Computing Positive Bases in Finite‐Dimensional Vector Sublattices. Applications in Completion of Security Markets and in the Theory of Efficient Funds.
- 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
- scientific article; zbMATH DE number 2216947 (Why is no real title available?)
- Feasible algorithms for lattice and directed subspaces.
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