Computational methods in portfolio insurance

Katsikis, VN

dc.contributor.author	Katsikis, VN	en
dc.date.accessioned	2014-03-01T01:26:02Z
dc.date.available	2014-03-01T01:26:02Z
dc.date.issued	2007	en
dc.identifier.issn	0096-3003	en
dc.identifier.uri	https://dspace.lib.ntua.gr/xmlui/handle/123456789/17893
dc.subject	Computational methods	en
dc.subject	Lattice-subspaces	en
dc.subject	Matlab	en
dc.subject	Portfolio insurance	en
dc.subject	Positive basis	en
dc.subject.classification	Mathematics, Applied	en
dc.subject.other	Algorithms	en
dc.subject.other	Computational methods	en
dc.subject.other	Cost effectiveness	en
dc.subject.other	Optimization	en
dc.subject.other	Project management	en
dc.subject.other	Vectors	en
dc.subject.other	Lattice-subspaces	en
dc.subject.other	Portfolio insurance	en
dc.subject.other	Positive basis	en
dc.subject.other	Insurance	en
dc.title	Computational methods in portfolio insurance	en
heal.type	journalArticle	en
heal.identifier.primary	10.1016/j.amc.2006.11.054	en
heal.identifier.secondary	http://dx.doi.org/10.1016/j.amc.2006.11.054	en
heal.language	English	en
heal.publicationDate	2007	en
heal.abstract	In this article we develop a computational method for an algorithmic process first posed by Abramovich-Aliprantis-Polyrakis in 1994 in order to check whether a finite collection of linearly independent positive vectors in R-m forms a lattice-subspace. Lattice-subspaces are closely related to a cost minimization problem in the theory of finance that ensures the minimum-cost insured portfolio and this connection is further investigated here. Finally, we propose a computational method in order to solve the minimization problem and to calculate the minimum-cost insured portfolio. All of the numerical work is performed using the Matlab high-level language. (c) 2006 Elsevier Inc. All rights reserved.	en
heal.publisher	ELSEVIER SCIENCE INC	en
heal.journalName	Applied Mathematics and Computation	en
dc.identifier.doi	10.1016/j.amc.2006.11.054	en
dc.identifier.isi	ISI:000247328400002	en
dc.identifier.volume	189	en
dc.identifier.issue	1	en
dc.identifier.spage	9	en
dc.identifier.epage	22	en