Computation of vector sublattices and minimal lattice-subspaces of Rk: Applications in finance

摘要

In this article we carry out a computational study on Polyrakis algorithms [I.A. Polyrakis, Finite-dimensional lattice-subspaces of C(Ω) and curves of Rn, Trans. Am. Math. Soc. 348 (1996) 2793–2810; I.A. Polyrakis, Minimal lattice-subspaces, Trans. Am. Math. Soc. 351 (1999) 4183–4203]. These algorithms can be utilised for the determination of the vector sublattice and the minimal lattice-subspace generated by a finite set of positive vectors of Rk. It is demonstrated that the findings of our work can be very useful in the field of Economics, especially in completion by options of security markets and portfolio insurance.