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

Binary Beetle Antennae Search Algorithm for Tangency Portfolio Diversification

The tangency portfolio, also known as the market portfolio, is the most efficient portfolio and arises from the intercept point of the Capital Market Line (CML) and the efficient frontier. In this paper, a binary optimal tangency portfolio under cardinality constraint (BOTPCC) problem is defined and studied as a nonlinear programming (NLP) problem. Because such NLP problems are widely approached by heuristic, a binary beetle antennae search algorithm is employed to provide a solution to the BTPSCC problem. Our method proved to be a magnificent substitute to other evolutionary algorithms in real-world datasets, based on numerical applications and computer simulations

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

A NEW COMPUTATIONAL METHOD FOR FINDING THE CHEAPEST HEDGE

In this article, we investigate the computational efficiency of an order theoretic approach applied to the problem of finding the cheapest hedge under portfolio constraints. In particular, we design a new computational method for computing the cheapest hedge and we discuss advantages of this method compared to the standard linear programming techniques. Numerical results as well as a new Matlab function for computing the cheapest hedge are provided

An analysis of bilateral project consortia in the case of Greece and Bulgaria

Interreg IV is an EU initiative financed under the European Regional Development Fund (ERDF) which aims to stimulate interregional cooperation in the EU between the years 2007–2013. In this empirical paper, we offer a first analytical view on the relations and the network developed through project partnerships within the European Territorial Cooperation Programme. Our aim is to discover and understand the collaborative status of cross border projects in the two countries with regard to their priorities and targets set in Programme Interreg IV: Greece–Bulgaria 2007–2013. In particular, we analyse the characteristics of 90 projects with 329 partners in order to examine data relevant to the project’s priority axis, the number of the partners involved, the type of the partners, etc. Our analysis provides insights on the regional and organizational strategies for the development of bilateral collaboration between the organizations of the two countries and for the successful development of future actions for the strengthening of cross border collaboration.INTERREG IV yra ES iniciatyva, finansuojama iš Europos regioninės plėtros fondų, kurių tikslas yra skatinti tarpregioninį bendradarbiavimą ES 2007–2013 m. laikotarpiu. Šiame straipsnyje pateikiamas empirinis tyrimas, kurio tikslas nustatyti įgyvendinant Europos teritorinio bendradarbiavimo programą susidariusius projekto partnerystės ryšius bei tinklus. Straipsnio tikslas – nustatyti bendradarbiavimo ryšius, susidariusius tarp Graikijos ir Bulgarijos įgyvendinant tarpregioninius projektus, atsižvelgiant į jų prioritetus ir tikslus, nustatytus programoje INTERREG IV 2007–2013 m. laikotarpiui. Pagrindinis dėmesys straipsnyje yra skiriamas 90 projektų ir 329 partnerių charakteristikų analizei, siekiant išnagrinėti duomenis, susijusius su projektų prioritetinėmis kryptimis, partnerių skaičiumi, partnerių tipu ir kt. Atlikta analizė leidžia visapusiškiau pažvelgti į regionines ir organizacines strategijas, skirtas bendradarbiavimui tarp dviejų šalių institucijų stiprinti, bei numatyti jų būsimo glaudesnio bendradarbiavimo priemones

Application of the Least Squares Solutions in Image Deblurring

A new method for the reconstruction of blurred digital images damaged by separable motion blur is established. The main attribute of the method is based on multiple applications of the least squares solutions of certain matrix equations which define the separable motion blur in conjunction with known image deconvolution techniques. The key feature of the proposed algorithms is reflected in the fact that they can be used only in symbiosis with other image restoration algorithms