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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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