Alois Geyer, University of Economics, Vienna, Austria
     Wolfgang Herold, Innovest, Vienna, Austria
     Konrad Kontriner, Innovest, Vienna, Austria
     William T. Ziemba, University of British Columbia, Vancouver, B.C., Canada

This paper describes the financial planning model InnoALM developed by Innovest for Austrian pension funds including their own managed for the Austrian employees of the electronics firm Siemens.  The model uses a multiperiod stochastic linear programming framework with a flexible number of time periods of varying length that can include end effects.  Various forecasting models yield inputs that provide the generation and aggregation of multiperiod discrete probability scenarios for all random return and other model parameters.  The correlations across asset classes, of bonds, stocks, cash and other financial instruments, are scenario dependent using multiple co-variance matrices that correspond to differing market conditions.  This feature allows InnoALM to anticipate and react to severe as well as normal market conditions.  Austrian pension law and specific pension policy considerations are modeled as constraints in the optimization.  The objective is to maximize the expected present value of terminal wealth at the specified horizon net of expected penalty costs for wealth and benchmark targets in each decision period.  InnoALM has a user interface that allows for visualization of key model outputs, the effect of input changes, growing pension benefits from increased wealth targets, security reserves, policy changes, etc.  The solution process using the IBM OSL stochastic programming code is fast enough to generate virtually online decisions and results and allow for easy interaction of user with model to improve pension fund performance.