Asymmetry PRISM-CPU achieves 4.5x-24.1x speedups over reference solvers on N=100-2000 problems and GPU completes all 500 accounts in 109.5s where OSQP completes 4.
Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets goldilocks.Review of Financial Studies, 30(12):4349–4388, 2017
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Asymmetry PRISM: A CPU/GPU Portfolio Optimization Engine for Deadline-Bounded Institutional Rebalancing
Asymmetry PRISM-CPU achieves 4.5x-24.1x speedups over reference solvers on N=100-2000 problems and GPU completes all 500 accounts in 109.5s where OSQP completes 4.