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