Computation of vector sublattices and minimal lattice-subspaces ofRk: Applications in finance

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dc.contributor.author Katsikis, VN en
dc.contributor.author Polyrakis, IA en
dc.date.accessioned 2014-03-01T02:08:33Z
dc.date.available 2014-03-01T02:08:33Z
dc.date.issued 2012 en
dc.identifier.issn 00963003 en
dc.identifier.uri http://hdl.handle.net/123456789/29661
dc.subject Completion of security markets en
dc.subject Computational methods en
dc.subject Minimal lattice-subspaces en
dc.subject Portfolio insurance en
dc.subject Vector sublattices en
dc.subject.other Computational studies en
dc.subject.other Finite set en
dc.subject.other Minimal lattice-subspaces en
dc.subject.other Portfolio insurance en
dc.subject.other Security markets en
dc.subject.other Sub-lattices en
dc.subject.other Algorithms en
dc.subject.other Computational methods en
dc.subject.other Vectors en
dc.title Computation of vector sublattices and minimal lattice-subspaces ofRk: Applications in finance en
heal.type journalArticle en
heal.identifier.primary 10.1016/j.amc.2011.12.062 en
heal.identifier.secondary http://dx.doi.org/10.1016/j.amc.2011.12.062 en
heal.publicationDate 2012 en
heal.abstract In this article we carry out a computational study on Polyrakis algorithms [I.A. Polyrakis, Finite-dimensional lattice-subspaces of C(Ω) and curves ofRn, Trans. Am. Math. Soc. 348 (1996) 2793-2810; I.A. Polyrakis, Minimal lattice-subspaces, Trans. Am. Math. Soc. 351 (1999) 4183-4203]. These algorithms can be utilised for the determination of the vector sublattice and the minimal lattice-subspace generated by a finite set of positive vectors ofRk. It is demonstrated that the findings of our work can be very useful in the field of Economics, especially in completion by options of security markets and portfolio insurance. © 2011 Elsevier Inc. All rights reserved. en
heal.journalName Applied Mathematics and Computation en
dc.identifier.doi 10.1016/j.amc.2011.12.062 en
dc.identifier.volume 218 en
dc.identifier.issue 12 en
dc.identifier.spage 6860 en
dc.identifier.epage 6873 en

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