Parallel execution of portfolio optimization

Details Parallel execution of portfolio optimization Parallel execution of portfolio optimization

2008-11-10

arxiv.org/abs/0811.1504v1

Computer Science

Distributed, Parallel, and Cluster Computing

Scientific paper

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.

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