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Accounting for secondary uncertainty: efficient computation of portfolio risk measures on multi and many core architectures.
Blesson Varghese
Andrew Rau-Chaplin
Published in:
WHPCF@SC (2013)
Keyphrases
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risk measures
efficient computation
portfolio optimization
portfolio selection
risk averse
robust optimization
portfolio management
computational efficiency
multi objective
risk management
multiple objectives
problems involving
expected utility