Highly parallel computing in simulation on dynamic bond portfolio management

The bond portfolio management problem is formulated as a stochastic program based on interest rate scenarios. It has been proved in Dupakovà (1998) that small errors in constructing scenarios will not destroy the optimal solution. The aim of the contribution is to quantify, through carefully planned simulation studies, the magnitude of the above-mentioned errors and to give bounds, at a specified confidence level, for the optimal gap between the value related to the optimal first-stage solution of the unperturbed problem and the "true" optimal value. Parallel computer numerical results are presented.