Instances of the Portfolio Replication Problem

The file parameters.txt  containts the parameters of the instances of the Portfolio Replication Problem introduced in the article 

"On the Number of Stages in Multistage Stochastic Programs" by G. Pantuso and T. K. Boomsma. 

The instances are adapted from the ones previously presented in the article 

"Generating Scenario Trees for Multistage Decision Problems, by K. H{\o}yland, S. W. Wallace, Management Science, 47, 205-336, 2001.

The data in the file is organized as follows.
* First line:
 InitialBudget TargetLowerBound TargetMode TargetUpperBound TargetGrowthRate
* Second line:
 NumberOfAssets
* Third Line:
 Header for the parameters of the assets
* Lines four to NumberOfAssets+3:
 AssetName AssetMean AssetStD AssetSkewness AssetKurtosis AssetRiskPremium AssetVolatilityClumping AssetMeanReversionFactor
* Blank line
The following lines contain a NumberOfAssets x NumberOfAssets matrix representing the correlations.

Explanation:
* InitialBudget: the initial budget to invest in assets
* TargetLowerBound TargetMode TargetUpperBound: the three parameters of the triangular distribution of the random target
* TargetGrowthRate: the rate at which the parameters of the target triangular distribution grow at each stage
* The asset parameters are self explanatory
* The correlation matrix assumes the assets are in the same order as they are introduced above. Therefore, 0.6 is the correlation between Cash and Bonds, -0.2 the correlation between Cash and D.Stocks and so on. 

For further information please contact us at {gp,trine}@math.ku.dk.