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arXiv 0811.1504cs.DC
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投资组合优化的并行执行

Parallel execution of portfolio optimization

R. Nuriyev

摘要:

分析资产负债管理(ALM)策略,特别是长期策略,是银行、基金和保险公司的一个重要问题。现代经济模型、投资策略和优化标准使得资产负债管理研究在计算上非常密集。多处理器系统,特别是最廉价的多核PC和PC集群系统,受到了人们的关注。在这篇文章中,我们正在分析的问题,并行组织的投资组合优化,使用集群优化的结果和最有效的集群架构,这些类型的任务。

英文摘要:

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.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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