Computation of vector sublattices and minimal lattice-subspaces of \(\mathbb R^k\): applications in finance
From MaRDI portal
Publication:428102
DOI10.1016/j.amc.2011.12.062zbMath1241.91131arXiv1006.4070MaRDI QIDQ428102
Vasilios N. Katsikis, Ioannis A. Polyrakis
Publication date: 19 June 2012
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1006.4070
computational methods; portfolio insurance; completion of security markets; minimal lattice-subspaces; vector sublattices
Related Items
Uses Software
Cites Work
- Unnamed Item
- A Matlab-based rapid method for computing lattice-subspaces and vector sublattices of \(\mathbb R^n\): applications in portfolio insurance
- The completion of security markets
- Computational methods in lattice-subspaces of \(C[a,b\) with applications in portfolio insurance]
- Minimum-cost portfolio insurance
- The cheapest hedge.
- Computational methods in portfolio insurance
- Minimal lattice-subspaces
- Linear Optimization in C (Ω) and Portfolio Insurance
- Finite-dimensional lattice-subspaces of 𝐶(Ω) and curves of ℝⁿ