Is it possible to run Clp on multiple threads using Julia and JuMP?
By Clp, I assume that you're referring to the linear programming code that is part of the COIN-OR project:
Clp's primal and dual simplex codes aren't multithreaded so even if you call Clp from within a multithreaded program in Julia, each LP will be solved by a single thread. It is possible to use the primal-dual interior point method in Clp with a threaded sparse Cholesky factorization routine.
In general, it has proven to be extremely difficult to get an efficient implementation of the simplex method in parallel. Parallel implementations of primal-dual interior point method have been more successful primarily because the major work in each iteration of the primal-dual method is the Cholesky factorization of a large sparse matrix and considerable progress has been made on doing those factorizations in parallel.