Skip to main content
Presentation
FPGA Acceleration of Mean Variance Framework for Optimal Asset Allocation
Workshop on High Performance Computational Finance, 2008 Proceedings: Austin, TX
  • Ali Irturk, University of California - San Diego
  • Bridget Benson, University of California - San Diego
  • Nikolay Laptev, University of California - San Diego
  • Ryan Kastner, University of California - San Diego
Publication Date
11-16-2008
Abstract
Asset classes respond differently to shifts in financial markets, thus an investor can minimize the risk of loss and maximize return of his portfolio by diversification of assets. Increasing the number of diversified assets in a financial portfolio significantly improves the optimal allocation of different assets giving better investment opportunities. However, a large number of assets require a significant amount of computation that only high performance computing can currently provide. Because of the highly parallel nature of Markowitzpsila mean variance framework (the most popular approximation approach for optimal asset allocation) an FPGA implementation of the framework can also provide the performance necessary to compute the optimal asset allocation with a large number of assets. In this work, we propose an FPGA implementation of Markowitzpsila mean variance framework and show it has a potential performance ratio of 221 times over a software implementation.
Publisher statement
Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.
Citation Information
Ali Irturk, Bridget Benson, Nikolay Laptev and Ryan Kastner. "FPGA Acceleration of Mean Variance Framework for Optimal Asset Allocation" Workshop on High Performance Computational Finance, 2008 Proceedings: Austin, TX (2008) p. 1 - 8
Available at: http://works.bepress.com/bbenson/6/