Massively parallel processing of recursive multi-period portfolio models

DOI10.1016/j.ejor.2016.10.009zbMath1395.91418OpenAlexW2529921729MaRDI QIDQ1751815

Ralf Oestermark

Publication date: 25 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2016.10.009

zbMATH Keywords

financeportfolio efficiencymassively parallel processingrecursive multi-period portfolio modeling

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Stochastic programming (90C15) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (2)

A general framework for pricing Asian options under stochastic volatility on parallel architectures ⋮ Copula-based Black-Litterman portfolio optimization

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