Allocating independent tasks to parallel processors: an experimental study
Journal of Parallel and Distributed Computing - Special issue on dynamic load balancing
Heuristic Algorithms for Scheduling Independent Tasks on Nonidentical Processors
Journal of the ACM (JACM)
Highly parallel computing in simulation on dynamic bond portfolio management
APL '98 Proceedings of the APL98 conference on Array processing language
A Heuristic for Moment-Matching Scenario Generation
Computational Optimization and Applications
Scenario Reduction Algorithms in Stochastic Programming
Computational Optimization and Applications
Dynamic Matching and Scheduling of a Class of Independent Tasks onto Heterogeneous Computing Systems
HCW '99 Proceedings of the Eighth Heterogeneous Computing Workshop
Generating Scenario Trees for Multistage Decision Problems
Management Science
The GRelC Library: A Basic Pillar in the Grid Relational Catalog Architecture
ITCC '04 Proceedings of the International Conference on Information Technology: Coding and Computing (ITCC'04) Volume 2 - Volume 2
Applications of Stochastic Programming (Mps-Siam Series on Optimization) (Mps-Saimseries on Optimization)
Grid Computing Infrastructures and their Value for Risk Management
HICSS '07 Proceedings of the 40th Annual Hawaii International Conference on System Sciences
The Grid Resource Broker portal: Research Articles
Concurrency and Computation: Practice & Experience - Workshop on Grid Computing Portals (GCE 2005)
Portfolio and investment risk analysis on global grids
Journal of Computer and System Sciences
The Grid Resource BrokerWorkflow Engine
GCC '07 Proceedings of the Sixth International Conference on Grid and Cooperative Computing
Generating scenario trees: A parallel integrated simulation-optimization approach
Journal of Computational and Applied Mathematics
Monte Carlo grid for financial risk management
Future Generation Computer Systems - Special issue: Parallel computing technologies
A decision support system for strategic asset allocation
Decision Support Systems
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Portfolio optimisation is a crucial problem that every financial operator has to deal with. Nowadays the possibility to process large amount of data, to generate more confident forecasts and to solve more complex optimisation problems is powered by the adoption of advanced computing systems. This paper presents an efficient and effective decision support system for portfolio optimisation implemented on a grid platform. The system relies on a methodological kernel which efficiently integrates simulation and optimisation techniques. A large set of numerical experiments has been carried out to measure the performance of the system both in terms of computational efficiency and improved solution quality.