A Matlab-based rapid method for computing lattice-subspaces and vector sublattices of Rn: Applications in portfolio insurance

Katsikis, VN

dc.contributor.author	Katsikis, VN	en
dc.date.accessioned	2014-03-01T01:29:34Z
dc.date.available	2014-03-01T01:29:34Z
dc.date.issued	2009	en
dc.identifier.issn	0096-3003	en
dc.identifier.uri	https://dspace.lib.ntua.gr/xmlui/handle/123456789/19311
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	Vector sublattices	en
dc.subject.classification	Mathematics, Applied	en
dc.subject.other	Cost minimization	en
dc.subject.other	Lattice-subspaces	en
dc.subject.other	Market structures	en
dc.subject.other	Portfolio insurance	en
dc.subject.other	Positive basis	en
dc.subject.other	Rapid method	en
dc.subject.other	Sub-lattices	en
dc.subject.other	Costs	en
dc.subject.other	MATLAB	en
dc.subject.other	Vectors	en
dc.subject.other	Computational methods	en
dc.title	A Matlab-based rapid method for computing lattice-subspaces and vector sublattices of Rn: Applications in portfolio insurance	en
heal.type	journalArticle	en
heal.identifier.primary	10.1016/j.amc.2009.06.018	en
heal.identifier.secondary	http://dx.doi.org/10.1016/j.amc.2009.06.018	en
heal.language	English	en
heal.publicationDate	2009	en
heal.abstract	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.	en
heal.publisher	ELSEVIER SCIENCE INC	en
heal.journalName	Applied Mathematics and Computation	en
dc.identifier.doi	10.1016/j.amc.2009.06.018	en
dc.identifier.isi	ISI:000269403200010	en
dc.identifier.volume	215	en
dc.identifier.issue	3	en
dc.identifier.spage	961	en
dc.identifier.epage	972	en