splitalm.dat

Numerical Methods In_Finance And Economics Matlab Source Code

set assets := stocks bonds;
param initwealth := 55;
param scenarios := 8;
param T := 3;

set links[0] := (1,2) (2,3) (3,4) (4,5) (5,6) (6,7) (7,8);
set links[1] := (1,2) (2,3) (3,4) (5,6) (6,7) (7,8);
set links[2] := (1,2) (3,4) (5,6) (7,8);

param target := 80;
param reward := 1;
param penalty := 4;

param return :=
[stocks, 1, *] 1 1.25 2 1.25 3 1.25
[stocks, 2, *] 1 1.25 2 1.25 3 1.06
[stocks, 3, *] 1 1.25 2 1.06 3 1.25
[stocks, 4, *] 1 1.25 2 1.06 3 1.06
[stocks, 5, *] 1 1.06 2 1.25 3 1.25
[stocks, 6, *] 1 1.06 2 1.25 3 1.06
[stocks, 7, *] 1 1.06 2 1.06 3 1.25
[stocks, 8, *] 1 1.06 2 1.06 3 1.06
[bonds, 1, *] 1 1.14 2 1.14 3 1.14
[bonds, 2, *] 1 1.14 2 1.14 3 1.12
[bonds, 3, *] 1 1.14 2 1.12 3 1.14
[bonds, 4, *] 1 1.14 2 1.12 3 1.12
[bonds, 5, *] 1 1.12 2 1.14 3 1.14
[bonds, 6, *] 1 1.12 2 1.14 3 1.12
[bonds, 7, *] 1 1.12 2 1.12 3 1.14
[bonds, 8, *] 1 1.12 2 1.12 3 1.12;

param prob default 0.125;