Computational methods in lattice-subspaces of C[a,b] with applications in portfolio insurance

DOI10.1016/J.AMC.2007.11.002MaRDI QIDQ929435zbMATH OpenOpenAlexFDO

Authors Vasilios N. Katsikis

Publication date 17 June 2008

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

Full work available at URL https://doi.org/10.1016/j.amc.2007.11.002

zbMATH Keywords

computational methodslattice-subspacesMATLABportfolio insurancepositive basis

Mathematics Subject Classification ID

Portfolio theory (91G10) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• Computational methods in portfolio insurance
• Finite-dimensional lattice-subspaces of 𝐶(Ω) and curves of ℝⁿ
• scientific article; zbMATH DE number 894025 (Why is no real title available?)
• scientific article; zbMATH DE number 2216947 (Why is no real title available?)
• Linear Optimization in C (Ω) and Portfolio Insurance
• Minimum-cost portfolio insurance
• Portfolio dominance and optimality in infinite security markets
• The cheapest hedge.
• The completion of security markets

Cited in

(7)

• A heuristic process on the existence of positive bases with applications to minimum-cost portfolio insurance in \(C[a, b]\)
• Computational methods in portfolio insurance
• Time-varying minimum-cost portfolio insurance under transaction costs problem via beetle antennae search algorithm (BAS)
• Computational methods for option replication
• Feasible algorithms for lattice and directed subspaces.
• Computation of vector sublattices and minimal lattice-subspaces of \(\mathbb R^k\): applications in finance
• A Matlab-based rapid method for computing lattice-subspaces and vector sublattices of R^n: applications in portfolio insurance

Describes a project that uses

Uses Software

• Matlab

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