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

DOI10.1080/14697688.2023.2271223arXiv2306.11158OpenAlexW4388441786MaRDI QIDQ6127432

Rudi Zagst, Marcos Escobar Anel, Michel Kschonnek

Publication date: 12 April 2024

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2306.11158

zbMATH Keywords

dynamic programmingincomplete marketsportfolio optimisationHeston's stochastic volatility modelallocation constraints

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

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