The AURORA financial management system: Model and parallel implementation design

Pflug GC, Swietanowski A, Dockner EJ, & Moritsch H (2000). The AURORA financial management system: Model and parallel implementation design. Annals of Operations Research 99 (1): 189-206. DOI:10.1023/A:1019297118383.

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Abstract

The AURORA financial management system under development at the University of Vienna is a modular decsion support tool for portfolio and asset-liability management. It is based on a multivariate Markovian birth-and-death factor model for the economic envronment, a pricing model for the financial instruments and an objective function which is flexible enough to express risk aversion

The core of the system is a large scale linear or convex program, which due to its size and structureis well suited for parallel optimization methods.

As the system is still at an early stage of development, the results are preliminary in nature. Only few types of financial instruments are handled and just two types of objectives are considered. The parallel optimization modules are still in the development phase.

Item Type: Article
Research Programs: Risk, Modeling and Society (RMS)
Bibliographic Reference: Annals of Operations Research; 99:189-206 [2000]
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 02:11
Last Modified: 19 Feb 2016 11:27
URI: http://pure.iiasa.ac.at/5952

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