Massively parallel processing of recursive multi-period portfolio models

DOI10.1016/J.EJOR.2016.10.009MaRDI QIDQ1751815zbMATH OpenOpenAlexFDO

Authors Ralf Östermark

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) Portfolio theory (91G10) Stochastic programming (90C15) Optimal stochastic control (93E20)

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Cited in

(4)

• A general framework for pricing Asian options under stochastic volatility on parallel architectures
• Copula-based Black-Litterman portfolio optimization
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• Dynamic portfolio management under competing representations

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