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Abstract: Financial planning problems are formulated as large scale, stochastic, multi-period, tree structured optimization problems. An ecient 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... (Update)
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BibTeX entry: (Update)
@misc{ laure-high,
author = "Erwin Laure and Hans Moritsch",
title = "A High Performance Decomposition Solver for Portfolio Management Problems
in the AURORA Financial Management System",
url = "citeseer.ist.psu.edu/article/laure01high.html" }
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