compactalm.dat

Numerical Methods In_Finance And Economics Matlab Source Code

set assets := stocks bonds;
param initwealth := 55;
param target := 80;
param reward := 1;
param penalty := 4;

set init_node := n0;
set interm_nodes := n1 n2 n3 n4 n5 n6;
set term_nodes := n7 n8 n9 n10 n11 n12 n13 n14;

param return (tr):
	stocks   bonds :=
n1    1.25     1.14
n2    1.06     1.12
n3    1.25     1.14
n4    1.06     1.12
n5    1.25     1.14
n6    1.06     1.12
n7    1.25     1.14
n8    1.06     1.12
n9    1.25     1.14
n10   1.06     1.12
n11   1.25     1.14
n12   1.06     1.12
n13   1.25     1.14
n14   1.06     1.12  ;

param prob default 0.125;

# immediate predecessors
set pred[n1] := n0; 
set pred[n2] := n0; 
set pred[n3] := n1; 
set pred[n4] := n1; 
set pred[n5] := n2; 
set pred[n6] := n2; 
set pred[n7] := n3; 
set pred[n8] := n3; 
set pred[n9] := n4; 
set pred[n10] := n4; 
set pred[n11] := n5; 
set pred[n12] := n5; 
set pred[n13] := n6; 
set pred[n14] := n6;