Download the whitepaper: Using ParallelR for High Performance Monte Carlo Simulation on Multiprocessor Computers
Opportunities for utilizing high performance Financial Services systems are common throughout the financial world. Examples include: credit risk assessment, portfolio optimization, optimization of marketing strategies, and credit card fraud detection.The specific example we consider is a simple, prototype portfolio optimization problem that is a model of the “efficient frontier” approach suggested by Markowitz. Our intention here is to illustrate the general ideas behind the use of multiprocessors to accelerate general portfolio optimization rather than to present the design and analysis of a production portfolio optimizer applied to real market data. We present benchmark data showing how well our parallel portfolio optimizer scales as a function of the number of cores.
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