Massively parallel processing of recursive multi-period portfolio models

DOI10.1016/j.ejor.2016.10.009zbMath1395.91418MaRDI 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

finance; portfolio efficiency; massively parallel processing; recursive multi-period portfolio modeling

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91G70: Statistical methods; risk measures

90C15: Stochastic programming

93E20: Optimal stochastic control

91G10: Portfolio theory

Related Items

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Applications of entropy in finance: a review
• Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets
• Dynamic portfolio optimization with transaction costs and state-dependent drift
• A review of copula models for economic time series
• Composite time-consistent multi-period risk measure and its application in optimal portfolio selection
• A test for the weights of the global minimum variance portfolio in an elliptical model
• Vector forecasting and dynamic portfolio selection: Empirical efficiency of recursive multiperiod strategies
• Multi-period portfolio optimization with linear control policies
• Portfolio selection in stochastic markets with HARA utility functions
• Scenario modeling for the management of international bond portfolios
• Solving irregular econometric and mathematical optimization problems with a genetic hybrid algorithm
• Monte Carlo methods for security pricing
• The performance of stochastic dynamic and fixed mix portfolio models
• Selected parallel optimization methods for financial management under uncertainty
• HARA frontiers of optimal portfolios in stochastic markets
• Dynamic mean-variance portfolio selection with borrowing constraint
• Robust multiperiod portfolio management in the presence of transaction costs
• A unified approach to portfolio optimization with linear transaction costs
• On complexity of multistage stochastic programs
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• Robust Convex Optimization
• A multi-period stochastic portfolio optimization model applied for an airline company in the EU ETS
• Dynamic portfolio management under competing representations
• A Fast Estimation Method for the Vector Autoregressive Moving Average Model With Exogenous Variables
• Logit Models from Economics and Other Fields
• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• Concurrent processing of heteroskedastic vector-valued mixture density models
• Structural Break Estimation for Nonstationary Time Series Models
• A new look at the statistical model identification
• A parallel algorithm for optimizing the capital structure contingent on maximum value at risk