3 research outputs found
Computation of vector sublattices and minimal lattice-subspaces of R^k. Applications in finance
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.Comment: 22 page
Optimal Portfolio Insurance under Nonlinear Transaction Costs
The minimization of the costs related to portfolio insurance is a very important investment strategy. In this article, by adding the transaction costs to the classical minimum cost portfolio insurance (MCPI) problem, we define and study the MCPI under transaction costs (MCPITC) problem as a nonlinear programming (NLP) problem. In this way, the MCPI problem becomes more realistic. Since such NLP problems are commonly solved by heuristics, we use the Beetle Antennae Search (BAS) algorithm to provide a solution to the MCPITC problem. Numerical experiments and computer simulations in real-world data sets confirm that our approach is an excellent alternative to other evolutionary computation algorithms