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.

翻译：我们提出了FlashFolio，一种基于GPU加速的求解器，用于处理基于因子风险建模、买卖价差成本及非线性市场冲击的单期与多期投资组合优化问题。此类模型广泛应用于投资组合构建与最优执行，但在大规模场景下（尤其是多期设定中）计算复杂度极高。我们使用基于真实市场输入构建的实例，将FlashFolio与MOSEK进行对比评测。结果表明：FlashFolio在单期设定中实现最高12.9倍的加速比，在多期设定中实现最高48倍的加速比，且在处理高难度多期实例时展现出更强的鲁棒性。该成果表明，基于GPU的优化方法可显著提升大规模投资组合优化的实用性。