Gerd Infanger Professor (Consulting) Management Science and Engineering Office: Terman 324 | Fax: 650-723-1614 Email: infanger @ stanford.edu

Software

DECIS A SYSTEM FOR SOLVING LARGE-SCALE STOCHASTIC PROGRAMS

DECIS is a system for solving large-scale stochastic programs. It employs Benders decomposition and Monte Carlo sampling using importance sampling or control variates as variance reduction techniques. DECIS includes a variety of solution strategies and can solve problems with numerous stochastic parameters. For solving master and subproblems, DECIS interfaces with MINOS or CPLEX. The DECIS User's guide discusses how to run DECIS, the inputs needed and the outputs obtained, and gives a comprehensive description of the methods used.

Copyright © 1989 -- 1997 by Gerd Infanger. All rights reserved.
The DECIS User's Guide is copyrighted and all rights are reserved. The DECIS software is furnished under a license agreement and may be used only in accordance with the terms of this agreement.

Contact Dr. Gerd Infanger for a license of the DECIS software and the DECIS User's Guide.

WEALTHIOR DYNAMIC ASSET ALLOCATION ON-LINE

WealthiOR is a system for solving dynamic portfolio optimization problems to determine an investor's optimal portfolio of assets and an optimal portfolio strategy in time depending on account value (wealth) and the investment horizon. WealthiOR maximizes expected utility (representing an investor’s risk aversion) taking into account possible savings and withdrawals over time. WealthiOR's state-of-the-art statistical evaluation of investment strategies helps to facilitate the best personalized investment advice.

Copyright © 2001-2005 by Dr. Gerd Infanger. All rights reserved. The software is furnished under a license agreement and may be used only in accordance with the terms of this agreement.