bv_cvxbook_extra_exercises

Give the approximate cpu time for each method using

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: e., xi = qi ). Find the imputed probabilities. 13.10 Optimal investment to fund an expense stream. An organization (such as a municipality) knows its operating expenses over the next T periods, denoted E1 , . . . , ET . (Normally these are positive; but we can have negative Et , which corresponds to income.) These expenses will be funded by a combination of investment income, from a mixture of bonds purchased at t = 0, and a cash account. The bonds generate investment income, denoted I1 , . . . , IT . The cash balance is denoted B0 , . . . , BT , where B0 ≥ 0 is the amount of the initial deposit into the cash account. We can have Bt < 0 for t = 1, . . . , T , which represents borrowing. After paying for the expenses using investment income and cash, in period t, we are left with Bt − Et + It in cash. If this amount is positive, it earns interest at the rate r+ > 0; if it is negative, we must pay interest at rate r− , where r− ≥ r+ . Thus the expenses, investment income, and cash balances are linked as follows: Bt+1 = (1 + r+ )(Bt − Et + It ) Bt − Et + It ≥ 0 (1 + r− )(Bt...
View Full Document

This note was uploaded on 09/10/2013 for the course C 231 taught by Professor F.borrelli during the Fall '13 term at Berkeley.

Ask a homework question - tutors are online