Computation of vector sublattices and minimal lattice-subspaces of R^k. Applications in finance
AbstractIn this article we perform a computational study of Polyrakis algorithms presented in [12,13]. These algorithms are used for the determination of the vector sublattice and the minimal lattice-subspace generated by a finite set of positive vectors of R^k. The study demonstrates that our findings can be very useful in the field of Economics, especially in completion by options of security markets and portfolio insurance.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1006.4070.
Date of creation: Jun 2010
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-07-03 (All new papers)
- NEP-CMP-2010-07-03 (Computational Economics)
- NEP-IAS-2010-07-03 (Insurance Economics)
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