Skip to main content

Large-Scale Simulation Methods for Measuring Financial Performance under the Benchmark Approach

Funding: 2007: $95,000
2008: $95,000
2009: $95,000

Project Member(s): Platen, E.

Funding or Partner Organisation: Australian Research Council (ARC Discovery Projects)

Start year: 2007

Summary: Platen's innovative benchmark approach addresses a key empirical inconsistency of a central assumption of modern finance. This has implications for measuring the long term financial performance of superannuation funds and portfolios of businesses. The project will extend the benchmark approach and develop prototypes of accurate large-scale simulation methods that overcome the discovered inconsistency. The innovative simulation methods will be hundreds of times faster than existing technology by exploiting the CI s numerical approach together with distributed computing and hardware accelerators. They will significantly improve the basis for sophisticated long term decision-making and strategic planning in the finance and insurance sector

Keywords: Simulation methods, Financial performance measurement, Dynamic financial analysis, Optimal investment, Benchmark approach, Stochastic differential equations,

FOR Codes: Finance, Stochastic Analysis and Modelling, Risk Theory, Finance and investment services, Computer software and services not elsewhere classified, Microeconomic issues not elsewhere classified, Financial Mathematics