A novel GPU implementation of eigenanalysis for risk management

@article{Torun2012ANG,
  title={A novel GPU implementation of eigenanalysis for risk management},
  author={Mustafa U. Torun and Ali N. Akansu},
  journal={2012 IEEE 13th International Workshop on Signal Processing Advances in Wireless Communications (SPAWC)},
  year={2012},
  pages={490-494}
}
Portfolio risk is commonly defined as the standard deviation of its return. The empirical correlation matrix of asset returns in a portfolio has its intrinsic noise component. This noise is filtered for more robust performance. Eigendecomposition is a widely used method for noise filtering. Jacobi algorithm has been a popular eigensolver technique due to its stability. We present an efficient GPU implementation of parallel Jacobi eigensolver for noise filtering of empirical correlation matrix… CONTINUE READING