Accelerating Portfolio Optimization

, Ph.D. Student at Cornell University
, Global Head of Capital Markets Strategy, NVIDIA
, 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.
活动: GTC 25
日期: March 2025
NVIDIA 技术: CUDA,cuDF,cuOpt
行业: 金融服务
话题: Models / Libraries / Frameworks - Accelerated Computing Libraries
级别: Technical – Beginner
语言: 英语
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