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High performance computations for an optimal portfolio choice problem

  • Marc Breitler
  • Stephane Hegi
  • Jean-Daniel Reymond
  • Nils S. Tuchschmid
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 1225)

Abstract

A strategy for allocating wealth across time when agents face a set of stochastic investment opportunities is presented. This portfolio choice problem implies to solve numerically complex non-linear partial differential equations which requires powerful computer resources. The numerical method for solving this type of convection-diffusion equations in this framework is described. The algorithm is implemented on a vectorial computer and with a Single Program Multiple Data (SPMD) version on a dedicated Massively Parallel Processing (MPP) system. Efficiency of the method is evaluated on both architectures. Numerical results for real market conditions are presented using a wide range of parameter values to explore the validity domain of the algorithm.

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Copyright information

© Springer-Verlag Berlin Heidelberg 1997

Authors and Affiliations

  • Marc Breitler
    • 1
  • Stephane Hegi
    • 2
  • Jean-Daniel Reymond
    • 1
  • Nils S. Tuchschmid
    • 2
  1. 1.Laboratoire de Mécanique des FluidesDGMLausanneSwitzerland
  2. 2.Institut de Gestion Bancaire et Financière, HECUniversité de LausanneLausanneSwitzerland

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