27 July 2001 Portable parallel portfolio optimization in the Aurora Financial Management System
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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.
© (2001) COPYRIGHT Society of Photo-Optical Instrumentation Engineers (SPIE). Downloading of the abstract is permitted for personal use only.
Erwin Laure, Erwin Laure, Hans Moritsch, Hans Moritsch, } "Portable parallel portfolio optimization in the Aurora Financial Management System", Proc. SPIE 4528, Commercial Applications for High-Performance Computing, (27 July 2001); doi: 10.1117/12.434871; https://doi.org/10.1117/12.434871
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