Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model
M. Escobar-Anel, M. Kschonnek and R. Zagst
| Year of publication: |
2023
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|---|---|
| Authors: | Escobar, Marcos ; Kschonnek, M. ; Zagst, Rudi |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 12, p. 1793-1813
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| Subject: | Allocation constraints | Dynamic programming | Heston's stochastic volatility model | Incomplete markets | Portfolio optimisation | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Unvollkommener Markt | Incomplete market | Dynamische Optimierung | Mathematische Optimierung | Mathematical programming | Optionspreistheorie | Option pricing theory | Finanzmarkt | Financial market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2023.2271223 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014452471