Computational methods in portfolio insurance

摘要

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 Rm 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.