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To derive the optimal investment strategy, we use the dynamic programming approach. We demonstrate that the value function in the constrained problem can be represented as the expected modified utility function of a vega-neutral financial derivative on the optimal terminal wealth in the unconstrained utility-maximization problem. Via the same financial derivative, the optimal wealth and the optimal investment strategy in the constrained problem are linked to the optimal wealth and the optimal investment strategy in the unconstrained problem. In numerical studies, we substantiate the impact of risk aversion levels and investment horizons on the optimal investment strategy. We observe a <jats:inline-formula>\n              <jats:alternatives>\n                <jats:tex-math>$$20\\%$$<\/jats:tex-math>\n                <mml:math xmlns:mml=\"http:\/\/www.w3.org\/1998\/Math\/MathML\">\n                  <mml:mrow>\n                    <mml:mn>20<\/mml:mn>\n                    <mml:mo>%<\/mml:mo>\n                  <\/mml:mrow>\n                <\/mml:math>\n              <\/jats:alternatives>\n            <\/jats:inline-formula> relative difference between the constrained and unconstrained allocations for average parameters in a low-risk-aversion short-horizon setting.<\/jats:p>","DOI":"10.1007\/s10479-024-06390-x","type":"journal-article","created":{"date-parts":[[2025,1,31]],"date-time":"2025-01-31T19:31:41Z","timestamp":1738351901000},"page":"1265-1309","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Value-at-risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston\u2019s model"],"prefix":"10.1007","volume":"347","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-9691-4322","authenticated-orcid":false,"given":"Marcos","family":"Escobar-Anel","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-1877-6072","authenticated-orcid":false,"given":"Yevhen","family":"Havrylenko","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Rudi","family":"Zagst","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2025,1,31]]},"reference":[{"issue":"4","key":"6390_CR1","doi-asserted-by":"publisher","first-page":"1059","DOI":"10.1093\/rfs\/8.4.1059","volume":"8","author":"S Basak","year":"1995","unstructured":"Basak, S. 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