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

Katsikis, VN

dc.contributor.author	Katsikis, VN	en
dc.date.accessioned	2014-03-01T01:28:04Z
dc.date.available	2014-03-01T01:28:04Z
dc.date.issued	2008	en
dc.identifier.issn	0096-3003	en
dc.identifier.uri	https://dspace.lib.ntua.gr/xmlui/handle/123456789/18693
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	Finite element method	en
dc.subject.other	Function evaluation	en
dc.subject.other	MATLAB	en
dc.subject.other	Numerical methods	en
dc.subject.other	Problem solving	en
dc.subject.other	Algorithmic process	en
dc.subject.other	Lattice-subspaces	en
dc.subject.other	Portfolio insurance	en
dc.subject.other	Computational methods	en
dc.title	Computational methods in lattice-subspaces of C [a, b] with applications in portfolio insurance	en
heal.type	journalArticle	en
heal.identifier.primary	10.1016/j.amc.2007.11.002	en
heal.identifier.secondary	http://dx.doi.org/10.1016/j.amc.2007.11.002	en
heal.language	English	en
heal.publicationDate	2008	en
heal.abstract	In this article, we develop a computational method for an algorithmic process first posed by Polyrakis in 1996 in order to check whether a finite collection of linearly independent positive functions in C[a, b] 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) 2007 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.2007.11.002	en
dc.identifier.isi	ISI:000255728600020	en
dc.identifier.volume	200	en
dc.identifier.issue	1	en
dc.identifier.spage	204	en
dc.identifier.epage	219	en