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Optimization
A Journal of Mathematical Programming and Operations Research
Volume 52, 2003 - Issue 2
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Original Articles

Linear Optimization in C (Ω) and Portfolio Insurance

Pages 221-239 | Published online: 27 Oct 2010

References

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  • Aliprantis , C.D. , Brown , D. and Werner , J. 2000 . Minimum-cost portfolio insurance . J. EconomicDynamics and Control. , 24 : 1703 – 1719 .
  • Aliprantis , C.D. , Polyrakis , I. and Tourky , R. 2002 . The cheapest hedge . Journal of Mathematical Economics , 37 : 269 – 295 .
  • Kaiman , J.A. 1961 . Continuity and Convexity of Projections and Barycentric Coordinates in Convex Polyhedra 1017 1022
  • Miyajima , S. 1983 . Structure of Banach quasi-sublattices . Hokkaido Math. J. , 11 : 83 – 91 .
  • Polyrakis , I.A. 1996 . Finitc-dimcntional latticc-subspaccs of C(O) and curves of Rn . Trans. American Math. Soc. , 384 : 2793 – 2810 .
  • Polyrakis , I.A. 1999 . Minimal latticc-subspaccs . Trans. American Math. Soc. , 351 : 4183 – 4203 .
  • Webster , R. 1994 . Convexity , Oxford University Press .

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