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Accelerating the Critical Line Algorithm for Portfolio Optimization Using GPUs

机译：使用GPU加速Plosfolio优化的关键线算法

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Since the introduction of the Modern Portfolio Theory by Markowitz in the Journal of Finance in 1952, it has been the underlying theory in several portfolio optimization techniques. With the advancement of computers, most portfolio optimization are done by CPUs. Over the years, there have been papers that introduce various optimization methods including those introduced by Markowitz, implemented on the CPUs. In the recent years, GPUs have taken the front seat as a technology to take computational speeds to new levels. However, very few papers published about portfolio optimization utilize GPUs. Our paper is about accelerating the open source Critical Line Algorithm for portfolio optimization by using GPU's, more precicely using NVIDIA'S GPUS and CUDA API, for time consuming parts of the algorithm.
机译：自1952年在金融期刊的Markowitz引入现代投资组合理论以来，这是几种投资组合优化技术的潜在理论。随着计算机的进步，大多数投资组合优化由CPU完成。多年来，有文件介绍了在CPU上实施的Markowitz推出的各种优化方法。近年来，GPU已将前座作为一种技术，以将计算速度达到新的水平。但是，很少有关于产品组合优化的论文利用GPU。我们的论文是通过使用GPU，更合法地使用NVIDIA的GPU和CUDA API来加速开源关键线算法，以便使用NVIDIA的GPU和CUDA API，以算法的耗时的部分。

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