Real-Time Portfolio Optimization with NVIDIA cuOpt

NVIDIA Developer · Beginner ·📰 AI News & Updates ·3w ago

Skills: ML Pipelines90%

Key Takeaways

Demonstrates real-time portfolio optimization using NVIDIA cuOpt and GPU acceleration

Original Description

Let’s walk through the NVIDIA cuFOLIO Developer Example. This open source, customizable notebook enables GPU accelerated portfolio optimization by constructing an optimal portfolio from the S&P 500 universe and then backtesting against customizable parameters and portfolios. ➡️ Start now: https://build.nvidia.com/nvidia/quantitative-portfolio-optimization 📥 Code: https://github.com/NVIDIA-AI-Blueprints/quantitative-portfolio-optimization/ 📝 Tech blog: https://developer.nvidia.com/blog/accelerate-large-linear-programming-problems-with-nvidia-cuopt 00:00 Interactive Backtesting Intro 00:11 Quantitative Portfolio Optimization 00:26 Deploy on Cloud (Brev) 00:57 Launchable Setup 01:50 Github 01:57 Run Notebook 02:42 2. CVaR Formulation 03:00 3. Data and Model Setup 04:26 4. Solve CVaR Optimization 07:15 5. Backtest Portfolio 08:09 6. GPU v CPU 09:40 7. Appendix 10:05 Outro #quantfinance #portfoliooptimization #algorithmictrading

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Chapters (13)

Interactive Backtesting Intro

0:11 Quantitative Portfolio Optimization

0:26 Deploy on Cloud (Brev)

0:57 Launchable Setup

1:50 Github

1:57 Run Notebook

2:42 2. CVaR Formulation

3:00 3. Data and Model Setup

4:26 4. Solve CVaR Optimization

7:15 5. Backtest Portfolio

8:09 6. GPU v CPU

9:40 7. Appendix

10:05 Outro

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