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Computation of vector sublattices and minimal lattice-subspaces of R^k. Applications in finance

V. N. Katsikis and I. A. Polyrakis

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Abstract: In 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.

New Economics Papers: this item is included in nep-cmp and nep-ias
Date: 2010-06
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