Title: An advanced system for portfolio optimisation

Authors: Patrizia Beraldi; Lucio Grandinetti; Italo Eipoco; Antonio Violi; Maria Elena Bruni

Addresses: Department of Mechanical, Energy and Management Engineering, University of Calabria, Via P. Bucci Cubo 41/C 87036, Rende (CS), Italy ' Department of Electronics, Informatics and Systems, University of Calabria, Via P. Bucci Cubo 41/C 87036, Rende (CS), Italy ' Department of Innovation Engineering, University of Salento, Lecce, Italy ' Department of Mechanical, Energy and Management Engineering, University of Calabria, Via P. Bucci Cubo 41/C 87036, Rende (CS), Italy ' Department of Mechanical, Energy and Management Engineering, University of Calabria, Via P. Bucci Cubo 41/C 87036, Rende (CS), Italy

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.

Keywords: portfolio optimisation; grid computing; stochastic programming; risk management; decision support systems; DSS; simulation.

DOI: 10.1504/IJGUC.2014.058253

International Journal of Grid and Utility Computing, 2014 Vol.5 No.1, pp.21 - 32

Received: 08 Dec 2012
Accepted: 20 Apr 2013
Published online: 29 Oct 2014 *

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