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

DOI10.1016/J.AMC.2009.06.018MaRDI QIDQ734849zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

• scientific article; zbMATH DE number 894025 (Why is no real title available?)
• Brick decompositions and the matching rank of graphs
• Computational methods in lattice-subspaces of \(C[a,b]\) with applications in portfolio insurance
• Computational methods in portfolio insurance
• Finite-dimensional lattice-subspaces of 𝐶(Ω) and curves of ℝⁿ
• Minimal lattice-subspaces
• Minimum-cost portfolio insurance
• The cheapest hedge.
• The quickhull algorithm for convex hulls

Cited in

(8)

• Computational methods in portfolio insurance
• Computation of vector sublattices and minimal lattice-subspaces of \(\mathbb R^k\): applications in finance
• Methods on Computing Positive Bases in Finite‐Dimensional Vector Sublattices. Applications in Completion of Security Markets and in the Theory of Efficient Funds.
• Computational methods for option replication
• Computational methods in lattice-subspaces of \(C[a,b]\) with applications in portfolio insurance
• scientific article; zbMATH DE number 2216947 (Why is no real title available?)
• A heuristic process on the existence of positive bases with applications to minimum-cost portfolio insurance in \(C[a, b]\)
• Feasible algorithms for lattice and directed subspaces.

Describes a project that uses

Uses Software

• Matlab
• Qhull

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