AMonninger / REMARK_UpperEnvelopeComparison

Comparing Upper Envelope Algorithms

Comparing DC-EGM by Iskhakov, F. , Jørgensen, T. H., Rust, J. and Schjerning, B. (2017) with FUES by Dobrescu, L., & Shanker, A. (2022)

The goals of this repository is:

1. Demonstrate how each version works
2. Show that they generate the same results in case the end-of-period asset function is monotone in beginning-of-period market resources
3. Show that FUES outperforms DC-EGM in case the end-of-period asset function is not monotone in beginning-of-period market resources

Under code/python you can find:

1. Example1_Writing_a_Will.ipynb (example in which DC-EGM and FUES is the same)

TBD:

1. Toy model in which DC-EGM and FUES is the same
2. Toy model in which DC-EGM and FUES is not the same
3. Example in which DC-EGM and FUES is not the same (durables)

To run all files, please install all packages in requirements.txt

pip install -r requirements.txt