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arXiv · 2604.22625

FlashFolio: A GPU-Accelerated Solver for Portfolio Optimization

Yilun Jiang·Haihao Lu·Zedong Peng·Jinwen Yang
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Abstract

We present FlashFolio, a GPU-accelerated solver for single-period and multi-period portfolio optimization with factor-based risk modeling, bid-offer spread costs, and nonlinear market impact. These models are widely used in portfolio construction and optimal execution, but become computationally challenging at large scale, especially in the multi-period setting. We benchmark FlashFolio against MOSEK on instances constructed from realistic market inputs. FlashFolio delivers consistent runtime improvements, achieving speedups of up to 12.9x in the single-period setting and 48x in the multi-period setting, while also exhibiting stronger robustness on challenging multi-period instances. Our results show that GPU-based optimization can help improve the practicality of large-scale portfolio optimization.

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Yilun Jiang, Haihao Lu, Zedong Peng, Jinwen Yang. 2026-04-24. FlashFolio: A GPU-Accelerated Solver for Portfolio Optimization. https://arxiv.org/abs/2604.22625

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