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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
BibTeX
Occurrences:
- mediaTUM GesamtbestandHochschulbibliographie2023Schools und FakultätenTUM School of Computation, Information and TechnologyLehrstuhl für Finanzmathematik (Prof. Zagst)