Abstract

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

Autore Pugliese

• Epicoco Italo

Tutti gli autori

• P. Beraldi , L. Grandinetti , I. Epicoco , A. Violi , M.e. Bruni

Titolo volume/Rivista

INTERNATIONAL JOURNAL OF GRID AND UTILITY COMPUTING

Anno di pubblicazione

2014

ISSN

1741-847X

ISBN

Non Disponibile

Numero di citazioni Wos

Nessuna citazione

Ultimo Aggiornamento Citazioni

Non Disponibile

Numero di citazioni Scopus

Non Disponibile

0

Ultimo Aggiornamento Citazioni

28/04/2018

Settori ERC

Non Disponibile

Codici ASJC

Non Disponibile