Mind the Cap! - Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model

Title:: Mind the Cap! - Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model
Document type:: Zeitschriftenaufsatz
Author(s):: Escobar M., Kschonnek M. and Zagst R.
Non-TUM Co-author(s):: ja
Cooperation:: international
Intellectual Contribution:: Discipline-based Research
Journal title:: Quantitative Finance
Journal listet in FT50 ranking:: nein
Year:: 2023
Pages contribution:: 1-21
Fulltext / DOI:: doi:10.1080/14697688.2023.2271223
Status:: Verlagsversion / published
Judgement review:: 0
Key publication:: Nein
Peer reviewed:: Ja
Commissioned:: not commissioned
Technology:: Nein
Interdisciplinarity:: Nein
Mission statement:: ;
Ethics and Sustainability:: Nein
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