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

DOI10.1016/j.amc.2011.12.062zbMath1241.91131arXiv1006.4070OpenAlexW2057822251MaRDI 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

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)

Related Items (1)

The NMF problem and lattice-subspaces

Uses Software

• Matlab

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

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