Treffer: Portable parallel portfolio optimization in the AURORA financial management system
Title:
Portable parallel portfolio optimization in the AURORA financial management system
Authors:
Source:
Commercial applications for high-performance computing (Denver CO, 21-22 August 2001)SPIE proceedings series. :193-204
Publisher Information:
Bellingham WA: SPIE, 2001.
Publication Year:
2001
Physical Description:
print, 32 ref
Original Material:
INIST-CNRS
Subject Terms:
Electronics, Electronique, Computer science, Informatique, Optics, Optique, Physics, Physique, Telecommunications, Télécommunications, Sciences exactes et technologie, Exact sciences and technology, Sciences appliquees, Applied sciences, Recherche operationnelle. Gestion, Operational research. Management science, Recherche opérationnelle et modèles formalisés de gestion, Operational research and scientific management, Sélection et gestion de portefeuilles, Portfolio theory, Informatique; automatique theorique; systemes, Computer science; control theory; systems, Logiciel, Software, Systèmes informatiques et systèmes répartis. Interface utilisateur, Computer systems and distributed systems. User interface, Asynchronisation, Asynchronism, Asincronia, Calcul réparti, Distributed computing, Cálculo repartido, Echelle grande, Large scale, Escala grande, Gestion financière, Financial management, Administración financiera, Gestion portefeuille, Portfolio management, Gestión cartera, Langage JAVA, JAVA language, Lenguaje JAVA, Langage programmation, Programming language, Lenguaje programación, Méthode arborescente, Tree structured method, Método arborescente, Méthode décomposition, Decomposition method, Método descomposición, Parallélisme, Parallelism, Paralelismo, Planification, Planning, Planificación, Portabilité, Portability, Portabilidad, Système aide décision, Decision support system, Sistema ayuda decisíon, Système gestion financière AURORO
Document Type:
Konferenz
Conference Paper
File Description:
text
Language:
English
Author Affiliations:
Institute for Software Science, University of Vienna, Austria
Department of Business, University of Vienna, Austria
Department of Business, University of Vienna, Austria
Rights:
Copyright 2002 INIST-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
Notes:
Computer science; theoretical automation; systems
Operational research. Management
Operational research. Management
Accession Number:
edscal.14051566
Database:
PASCAL Archive
Weitere Informationen
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.