Linear optimization in C(Ω) and portfolio insurance

Polyrakis, IA

dc.contributor.author	Polyrakis, IA	en
dc.date.accessioned	2014-03-01T01:19:10Z
dc.date.available	2014-03-01T01:19:10Z
dc.date.issued	2003	en
dc.identifier.issn	0233-1934	en
dc.identifier.uri	https://dspace.lib.ntua.gr/xmlui/handle/123456789/15382
dc.subject	Lattice subspace	en
dc.subject	Linear optimization	en
dc.subject	Portfolio insurance	en
dc.subject	Projection basis	en
dc.subject.classification	Operations Research & Management Science	en
dc.subject.classification	Mathematics, Applied	en
dc.title	Linear optimization in C(Ω) and portfolio insurance	en
heal.type	journalArticle	en
heal.identifier.primary	10.1080/0233193031000079829	en
heal.identifier.secondary	http://dx.doi.org/10.1080/0233193031000079829	en
heal.language	English	en
heal.publicationDate	2003	en
heal.abstract	Suppose that X is a subspace of C(Omega) generated by n linearly independent positive elements of C(Omega). In this article we study the problem of minimization of a positive linear functional p of X in X, under a finite number of linear inequalities. This problem does not have always a solution and if a solution exists we cannot determine it. In this article we show that if X is contained in a finite dimensional minimal lattice-subspace Y of C(Omega) (or equivalently, if X is contained in a finite dimensional minimal subspace Y of C(Omega) with a positive basis) and m=dim Y, then the minimization problem has a solution and we determine the solutions by solving an equivalent linear programming problem in R-m. Finally note that this minimization problem has an important application in the portfolio insurance which was the motivation for the preparation of this article.	en
heal.publisher	TAYLOR & FRANCIS LTD	en
heal.journalName	Optimization	en
dc.identifier.doi	10.1080/0233193031000079829	en
dc.identifier.isi	ISI:000182367400008	en
dc.identifier.volume	52	en
dc.identifier.issue	2	en
dc.identifier.spage	221	en
dc.identifier.epage	239	en