A heuristic process on the existence of positive bases with applications to minimum-cost portfolio insurance in C[a, b]

Vasilios N. Katsikis and Spyridon D. Mourtas

Applied Mathematics and Computation, 2019, vol. 349, issue C, 221-244

Abstract: In this work we propose an algorithmic process that finds the minimum-cost insured portfolio in the case where the space of marketed securities is a subspace of C[a, b]. This process uses, effectively, the theory of positive bases in Riesz spaces and does not require the presence of linear programming methods. The key for finding the minimum-cost insured portfolio is the existence of a positive basis. Until know, we could check, under a rather complicated procedure, the existence of a positive basis in a prescribed interval [a, b]. In this paper we propose a heuristic method for computing appropriate intervals [a, b], so that the existence of a positive basis is guaranteed. All the proposed algorithmic processes are followed by appropriate Matlab code.

Keywords: Minimum-cost insured portfolio; Riesz spaces; Positive bases (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:349:y:2019:i:c:p:221-244

DOI: 10.1016/j.amc.2018.12.044

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