Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model

M. Escobar-Anel, M. Kschonnek and R. Zagst

Year of publication:	2023
Authors:	Escobar, Marcos ; Kschonnek, M. ; Zagst, Rudi
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

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