### Optimization and Systems Theory Seminar

Friday, May 11, 2001, 11.00-12.00, Room 3721, Lindstedtsvägen 25

**Jörgen Blomvall **

Division of Optimization

Department of Mathematics

Linköping University

E-mail:
johan@mai.liu.se

####
Optimization of financial decisions using a new stochastic programming
method

Stochastic programming is an emerging area in optimization where one
can determine optimal decisions under uncertainty. This type of
problems has received increasing attention since more realistic
problems can be solved today. We have developed a primal interior
point algorithm that can solve multistage stochastic programs with
nonlinear convex objective and global constraints. We have used the
algorithm to solve problems with up to 5.8 million scenarios and 100
million variables. The algorithm has also been implemented on a
pc-cluster. The achieved speedup is close to perfectly linear. We have
also used the algorithm to optimize a stock and option portfolio. By
using optimization we could increase the portfolio return
substantially. The tests were made over a ten-year period.

Calendar of seminars

*Last update: April 2, 2001 by
Anders Forsgren,
anders.forsgren@math.kth.se.
*