Linear Optimization in C (Ω) and Portfolio Insurance

DOI10.1080/0233193031000079829zbMATH Open1029.90040OpenAlexW2128658006MaRDI QIDQ4430671FDOQ4430671

Authors: Ioannis A. Polyrakis 

Publication date: 12 October 2003

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/0233193031000079829

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zbMATH Keywords

portfolio insuranceminimal lattice subspaceminimization under linear inequalities

Mathematics Subject Classification ID

Linear programming (90C05) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Spaces defined by inductive or projective limits (LB, LF, etc.) (46A13)

Cites Work

• Portfolio dominance and optimality in infinite security markets
• Minimum-cost portfolio insurance
• The cheapest hedge.
• Minimal lattice-subspaces
• Finite-dimensional lattice-subspaces of 𝐶(Ω) and curves of ℝⁿ

Cited In (7)

• A heuristic process on the existence of positive bases with applications to minimum-cost portfolio insurance in \(C[a, b]\)
• Computation of vector sublattices and minimal lattice-subspaces of \(\mathbb R^k\): applications in finance
• Computational methods in lattice-subspaces of \(C[a,b]\) with applications in portfolio insurance
• Computational methods for option replication
• Maximal submarkets that replicate any option
• Computational methods in portfolio insurance
• Linear cumulative prospect theory with applications to portfolio selection and insurance demand

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