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- Title:
Value-at-Risk Constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model
- Document type:
- Working Paper
- Author(s):
- Escobar M., Havrylenko Y. and R. Zagst
- Non-TUM Co-author(s):
- Nein
- Cooperation:
- -
- Intellectual Contribution:
- Discipline-based Research
- Publisher:
- Annals of Operations Research
- Date of publication:
- 31.01.2025
- Year:
- 2025
- Key publication:
- Nein
- Commissioned:
- not commissioned
- Technology:
- Nein
- Interdisciplinarity:
- Nein
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