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Small tweaks to CPM example file #759

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merged 4 commits into from
Jul 16, 2020
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Mv77
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@Mv77 Mv77 commented Jul 15, 2020

@llorracc requested minor changes to the example_CPM file regarding the Merton-Samuelson exercise:

  • To get rid of the CGM calibration and simply use defaults.
  • To have a more informative legend in the plots.
  • To use more extreme numbers of discretization points for the risky returns, e.g., 5 vs 200.

This PR introduces those changes.

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Mv77 commented Jul 15, 2020

Here is how the results are looking at the moment:
image
image

The gap between the exact and the no-discretization limits still looks quite large even for 200 points. I tried 500 without any notable change. @mnwhite says here econ-ark/REMARK#68 that this is due to equiprobable approximations undershooting the variance of the continuous return distribution. Is the size of the gap consequent with this hypothesis?

@sbenthall sbenthall merged commit 455d09e into econ-ark:master Jul 16, 2020
@Mv77 Mv77 deleted the example_CPM-tweaks branch July 16, 2020 20:36
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