Aliprantis, C. D.; Brown, D.; Werner, J. - University of Bonn, Germany - 1999
-free security prices. Our characterization relies on the theory of lattice-subspaces. We establish that a necessary and sufficient … condition for price-independent minimum-cost portfolio insurance is that the asset span is a lattice-subspace of the space of … contingent claims. If the asset span is a lattice-subspace, then the minimum-cost portfolio insurance can be easily calculated as …