The AURORA financial management system: Model and parallel implementation design

DOI10.1023/A:1019297118383MaRDI QIDQ5933835zbMATH OpenFDO

Authors Georg Ch. Pflug, Artur Świȩtanowski, Engelbert J. Dockner, H. Moritsch

Publication date 14 June 2001

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/A:1019297118383

zbMATH Keywords

asset-liability managementfinancial managementparallel algorithmsstochastic optimization

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Stochastic programming (90C15)

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(4)

• Goal-based investing based on multi-stage robust portfolio optimization
• Multiscale stochastic optimization: modeling aspects and scenario generation
• Twenty years of linear programming based portfolio optimization
• Multiperiod mean-variance efficient portfolios with endogenous liabilities

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