Parallel execution of portfolio optimization
نویسنده
چکیده
Analysis of asset liability management (ALM) strategies especially for long term horizon is a crucial issue for banks, funds and insurance companies. Modern economic models, investment strategies and optimization criteria make ALM studies computationally very intensive task. It attracts attention to multiprocessor system and especially to the cheapest one – multi-core PCs and PC clusters. In this article we are analyzing problem of parallel organization of portfolio optimization, results of using clusters for optimization and the most efficient cluster architecture for these kinds of tasks.
منابع مشابه
A Multicore Tool for Constraint Solving
In Constraint Programming (CP), a portfolio solver uses a variety of different solvers for solving a given Constraint Satisfaction / Optimization Problem. In this paper we introduce sunny-cp2: the first parallel CP portfolio solver that enables a dynamic, cooperative, and simultaneous execution of its solvers in a multicore setting. It incorporates state-of-the-art solvers, providing also a usa...
متن کاملImproving Parallel Local Search for SAT
In this work, our objective is to study the impact of knowledge sharing on the performance of portfolio-based parallel local search algorithms. Our work is motivated by the demonstrated importance of clause-sharing in the performance of complete parallel SAT solvers. Unlike complete solvers, state-of-the-art local search algorithms for SAT are not able to generate redundant clauses during their...
متن کاملRobustness-based portfolio optimization under epistemic uncertainty
In this paper, we propose formulations and algorithms for robust portfolio optimization under both aleatory uncertainty (i.e., natural variability) and epistemic uncertainty (i.e., imprecise probabilistic information) arising from interval data. Epistemic uncertainty is represented using two approaches: (1) moment bounding approach and (2) likelihood-based approach. This paper first proposes a ...
متن کاملOverview of Portfolio Optimization Models
Finding the best way to optimize the portfolio after Markowitz's 1952 article has always been and will continue to be one of the concerns of activists in the investment management industry. Researchers have come up with different solutions to overcome this problem. The introduction of mathematical models and meta-heuristic models is one of the activities that has influenced portfolio optimizati...
متن کاملA New Approach to Project Risk Responses Selection with Inter-dependent Risks
Risks are natural and inherent characteristics of major projects. Risks are usually considered independently in analysis of risk responses. However, most risks are dependent on each other and dependent risks are rare in the real world. This paper proposes a model for proper risk response selection from the responses portfolio with the purpose of optimization of defined criteria for projects. Th...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- CoRR
دوره abs/0811.1504 شماره
صفحات -
تاریخ انتشار 2008