MATLAB AND MATHS GDUFS Baiyi Wu课件-ch12-optimal-growth.pptxVIP

1 MATLAB_AND_MATHS__GDUFS__Baiyi Wu MATLAB and Baiyi Wu Guangdong University of Foreign Studies Numerical Experiments 2 MATLAB_AND_MATHS__GDUFS__Baiyi Wu Chapter 12: Optimal Growth Game of two assets Simulation Mathematical derivation Extension 3 MATLAB_AND_MATHS__GDUFS__Baiyi Wu Game of two assets Initial wealth: $100 Risk-free asset return: 1.05 The game has 50 rounds. Each round you can invest your accumulated wealth on a risk-free asset and a risky asset. Risky asset: Probability Return 0.5 2.4 0.5 0 Question: How much should you invest on the risky asset each round? 4 MATLAB_AND_MAT