A Matlab-based rapid method for computing lattice-subspaces and vector sublattices of R^n: applications in portfolio insurance
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Publication:734849
DOI10.1016/J.AMC.2009.06.018zbMATH Open1187.91102OpenAlexW2156105793MaRDI QIDQ734849FDOQ734849
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
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computational methodspositive basisportfolio insurance\texttt{Matlab}vector sublatticeslattice-subspaces
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 (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 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
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