, Portfolio Manager/Head of Quantitative and Derivatives Strategies, Cohen & Steers
Join our in-depth exploration of cutting-edge techniques to accelerate portfolio optimization on GPUs. We'll unpack how to formulate optimization problems in terms of risk-reward trade-offs under various constraints. We'll discuss how to transform traditionally sequential optimization algorithms into parallel ones that can leverage GPU acceleration to manage complex, high-dimensional investment portfolios efficiently. Concrete examples using FX options and equity portfolios will be provided. Prerequisite(s):
Familiarity with Python and Jupyter Lab environments.