A sketched Nesterov projected gradient solver with GPU acceleration solves large mean-variance portfolio optimization problems orders of magnitude faster than standard solvers while providing approximation guarantees.
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Scalable Mean-Variance Portfolio Optimization via Subspace Embeddings and GPU-Friendly Nesterov-Accelerated Projected Gradient
A sketched Nesterov projected gradient solver with GPU acceleration solves large mean-variance portfolio optimization problems orders of magnitude faster than standard solvers while providing approximation guarantees.