A High Performance Decomposition Solver for Portfolio Management Problems in the AURORA Financial Management System

A High Performance Decomposition Solver for Portfolio Management Problems in the AURORA Financial Management System

Abstract

Financial planning problems are formulated as large scale, stochastic, multi-period, tree structured optimization problems. An efficient technique for solving this kind of problems is the nested Benders decomposition method. In this paper we apply this technique to the problem of portfolio optimization and present a parallel, portable, asynchronous implementation. 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.

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Authors
  • Laure, E.
  • Moritsch, H.
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Shortfacts
Category
Technical Report (Technical Report)
Divisions
Scientific Computing
Publisher
Institute for Software Science, University of Vienna
Date
October 2001
Official URL
http://www.par.univie.ac.at/publications/download/...
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