We develop a numerical scheme for determining the optimal asset allocation strategy for time-consistent, continuous time, mean variance optimization. Any type of constraint can be...
This paper presents a hardware-based dynamic optimizer that continuously optimizes an application’s instruction stream. In continuous optimization, dataflow optimizations are p...
Brian Fahs, Todd M. Rafacz, Sanjay J. Patel, Steve...
Based on recent work on Stochastic Partial Differential Equations (SPDEs), this paper presents a simple and well-founded method to implement the stochastic evolution of a curve. F...