Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model (Q6127432)
From MaRDI portal
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)
0 references
12 April 2024
0 references
portfolio optimisation
0 references
allocation constraints
0 references
dynamic programming
0 references
Heston's stochastic volatility model
0 references
incomplete markets
0 references
