Computation of vector sublattices and minimal lattice-subspaces of R^k: applications in finance

DOI10.1016/J.AMC.2011.12.062zbMATH Open1241.91131arXiv1006.4070OpenAlexW2057822251MaRDI QIDQ428102FDOQ428102

Authors: Vasilios N. Katsikis, Ioannis A. Polyrakis 

Publication date: 19 June 2012

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

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.

Full work available at URL: https://arxiv.org/abs/1006.4070

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zbMATH Keywords

computational methodsportfolio insurancecompletion of security marketsminimal lattice-subspacesvector sublattices

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

Cites Work

• Minimum-cost portfolio insurance
• The cheapest hedge.
• The completion of security markets
• Computational methods in portfolio insurance
• Minimal lattice-subspaces
• Linear Optimization in C (Ω) and Portfolio Insurance
• Title not available (Why is that?)
• Finite-dimensional lattice-subspaces of 𝐶(Ω) and curves of ℝⁿ
• 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

Cited In (6)

• 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
• Title not available (Why is that?)
• Computational methods in portfolio insurance
• The NMF problem and lattice-subspaces

Uses Software

• Matlab

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