Dimension-wise decompositions and their efficient parallelization

DOI10.1142/9789814436434_0013MaRDI QIDQ2849686zbMATH OpenOpenAlexFDO

Authors Philipp Schröder, Peter Mlynczak, G. Wittum

Publication date 24 September 2013

Published in Recent Developments in Computational Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/9789814436434_0013

Mathematics Subject Classification ID

Parallel numerical computation (65Y05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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• Near-optimal asset allocation in financial markets with trading constraints
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• A numerical approach to solve consumption-portfolio problems with predictability in income, stock prices, and house prices
• Trade-Offs between Depth and Width in Parallel Computation
• Accelerating techniques on nested decomposition
• Multiple decompositions for computational convenience

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