کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4633422 | 1340670 | 2009 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A Matlab-based rapid method for computing lattice-subspaces and vector sublattices of RnRn: Applications in portfolio insurance
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: A Matlab-based rapid method for computing lattice-subspaces and vector sublattices of RnRn: Applications in portfolio insurance A Matlab-based rapid method for computing lattice-subspaces and vector sublattices of RnRn: Applications in portfolio insurance](/preview/png/4633422.png)
چکیده انگلیسی
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 RnRn. 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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 215, Issue 3, 1 October 2009, Pages 961–972
Journal: Applied Mathematics and Computation - Volume 215, Issue 3, 1 October 2009, Pages 961–972
نویسندگان
Vasilios N. Katsikis,