A Matlab-based rapid method for computing lattice-subspaces and vector sublattices of R^n: applications in portfolio insurance

DOI10.1016/J.AMC.2009.06.018zbMATH Open1187.91102OpenAlexW2156105793MaRDI QIDQ734849FDOQ734849

Vasilios N. Katsikis

Publication date: 14 October 2009

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

Full work available at URL: https://doi.org/10.1016/j.amc.2009.06.018

zbMATH Keywords

computational methodspositive basisportfolio insurance\texttt{Matlab}vector sublatticeslattice-subspaces

Mathematics Subject Classification ID

Ordered topological linear spaces, vector lattices (46A40)

Cites Work

• The quickhull algorithm for convex hulls
• Minimum-cost portfolio insurance
• The cheapest hedge.
• Brick decompositions and the matching rank of graphs
• Computational methods in portfolio insurance
• Minimal lattice-subspaces
• Title not available (Why is that?)
• Finite-dimensional lattice-subspaces of 𝐶(Ω) and curves of ℝⁿ
• Computational methods in lattice-subspaces of \(C[a,b]\) with applications in portfolio insurance

Cited In (5)

• 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
• Title not available (Why is that?)

Uses Software

• Matlab
• Qhull

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