Journal
APPLIED MATHEMATICS AND COMPUTATION
Volume 215, Issue 3, Pages 961-972Publisher
ELSEVIER SCIENCE INC
DOI: 10.1016/j.amc.2009.06.018
Keywords
Matlab; Computational methods; Portfolio insurance; Lattice-subspaces; Vector sublattices; Positive basis
Categories
Funding
- State Scholarship Foundation
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This paper provides the construction of a powerful and efficient computational method, that translates Polyrakis algorithm [I.A. Polyrakis, Minimal lattice-subspaces, Trans. Am. Math. Soc. 351 (1999) 4183-4203, Theorem 3.19] for the calculation of lattice-subspaces and vector sublattices in R-n. In the theory of finance, lattice-subspaces have been extensively used in order to provide a characterization of market structures in which the cost-minimizing portfolio is price-independent. Specifically, we apply our computational method in order to solve a cost minimization problem that ensures the minimum-cost insured portfolio. (C) 2009 Elsevier Inc. All rights reserved.
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