Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model (Q6127432): Difference between revisions
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scientific article; zbMATH DE number 7831723
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model |
scientific article; zbMATH DE number 7831723 |
Statements
Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model (English)
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12 April 2024
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portfolio optimisation
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allocation constraints
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dynamic programming
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Heston's stochastic volatility model
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incomplete markets
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