Portfolio Optimization
Niels Stchedroff · Wilmott · 2013
Portfolio optimisation is computationally intensive and has potential for performance improvement. This paper examines the effects of evaluating large numbers of proposed solutions in parallel for use with direct search optimization. This leads to a method that has considerable performance increase. A GPU implementation demonstrates an order of magnitude performance improvement over the best available multi-threaded CPU. The new algorithm and GPU combined offer a performance increase of more than 60× compared to CPU.