Computing Pensions with HECToR

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hectorA researcher from Edinburgh University plans to use his time on HECToR, the large Cray XT4 in the UK, to model and predict the likely outcome of financial markets to better assist pension funds in planning for the future.  Professor Jacek Gondzio has developed a program to “assess the ranges of results from investment strategies in various market conditions to identify the best approach for investors to take.”

Stochastic programming is able to help in the analysis of financial planning problems as it allows us to include possible future scenarios,” [Gondzio] said.

Gondzio previously collaborated with a large Dutch pension fund on similar issues, but is developing his current project from a largely scientifc point-of-view.

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