Portable parallel portfolio optimization in the Aurora Financial Management System

Erwin Laure; Hans Moritsch

doi:10.1117/12.434871

27 July 2001 Portable parallel portfolio optimization in the Aurora Financial Management System

Erwin Laure, Hans Moritsch

Proceedings Volume 4528, Commercial Applications for High-Performance Computing; (2001) https://doi.org/10.1117/12.434871
Event: ITCom 2001: International Symposium on the Convergence of IT and Communications, 2001, Denver, CO, United States

Abstract

Financial planning problems are formulated as large scale, stochastic, multiperiod, tree structured optimization problems. An efficient technique for solving this kind of problems is the nested Benders decomposition method. In this paper we present a parallel, portable, asynchronous implementation of this technique. To achieve our portability goals we elected the programming language Java for our implementation and used a high level Java based framework, called OpusJava, for expressing the parallelism potential as well as synchronization constraints. Our implementation is embedded within a modular decision support tool for portfolio and asset liability management, the Aurora Financial Management System.

Citation Download Citation

Erwin Laure and Hans Moritsch "Portable parallel portfolio optimization in the Aurora Financial Management System", Proc. SPIE 4528, Commercial Applications for High-Performance Computing, (27 July 2001); https://doi.org/10.1117/12.434871

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