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

DOI10.1016/J.AMC.2009.06.018zbMath1187.91102OpenAlexW2156105793MaRDI QIDQ734849

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 methodsportfolio insurancepositive basis\texttt{Matlab}vector sublatticeslattice-subspaces

Mathematics Subject Classification ID

Ordered topological linear spaces, vector lattices (46A40)

Related Items (3)

Computational methods for option replication ⋮ Computation of vector sublattices and minimal lattice-subspaces of \(\mathbb R^k\): applications in finance ⋮ A heuristic process on the existence of positive bases with applications to minimum-cost portfolio insurance in \(C[a, b\)]

Uses Software

• Qhull
• Unnamed Item

Cites Work

• Unnamed Item
• Computational methods in lattice-subspaces of \(C[a,b\) with applications in portfolio insurance]
• Brick decompositions and the matching rank of graphs
• Minimum-cost portfolio insurance
• The cheapest hedge.
• Computational methods in portfolio insurance
• Minimal lattice-subspaces
• The quickhull algorithm for convex hulls
• Finite-dimensional lattice-subspaces of 𝐶(Ω) and curves of ℝⁿ

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