Application of multistage stochastic programs solved in parallel in portfolio management

摘要

We present a multistage model for allocation of financial resources to bond indices in different currencies. The model was tested on historical data of interest and exchange rates. We compare a two-stage and a three-stage stochastic programming model from a financial performance point of view.For solving two-stage and three-stage stochastic programs the interior point method (IPM) in the frame of the primal-dual path following formulation is used. An application of the Birge and Qi factorization to the IPM allows decomposition of large linear system to smaller blocks allowing thus to solve it in parallel.The parallel code is written in the Fortran programming language, using the message passing interface (MPI) for communication. Parallel and financial performance is illustrated on experiments executed on the IBM 1350 Linux cluster.