README.txt

Author: Klaus Reiner Schenk-Hoppé (klaus@schenk-hoppe.net, www.schenk-hoppe.net)
Last update August 28, 2010.

This file gives a brief overview on the MATLAB and C files which have
been developed to carry out the numerical simulations reported in the paper
"Consumption Paths under Prospect Utility in an Optimal Growth Model"
by Reto Foellmi  (University of Bern), Rina Rosenblatt-Wisch (Swiss National Bank)
and Klaus Reiner Schenk-Hoppé (University of Leeds)
Working Paper No. 237. National Centre of Competence in Research
``Financial Valuation and Risk Management,'' Switzerland. Revised version, August 2010.

The scripts are available at the web page
www.schenk-hoppe.net/software.html

The Matlab scripts have been tested with OCTAVE as well as MATLAB.
The C++ programs have been run with the free Microsoft Visual C++ Express Edition 2008. 


Filename              Task

README.txt (this file) Description of files and data used in the
                       numerical simulations in the paper

MATLAB FILES

time_series.m         MATLAB file  Call: time_series(figure_no), with figure_no = 1,2,3
                                   produces Figure figure_no (consumption path) as well as
                                   optimal capital stock and saving rate
                                   uses value function approximations derived
                                   with Value_fct.c (see above)

time_seriesA15.m      MATLAB file  Call: time_seriesA15
                                   produces Figure 4(a) and (b)  
                                   consumption paths and saving rate
                                   as well as optimal capital stock

time_seriesA05.m      MATLAB file  Call: time_seriesA05
                                   produces Figure 4(c) and (d)
                                   consumption paths and saving rate
                                   as well as optimal capital stock

Auxiliary MATLAB files
opt_policy.m 	      finds optimal path of capital stocks
utilityF.m            standard instaneneous utility function u(c)
utilityFdelta.m       prospect utility function v(deta c)
productionF.m         production function


DATA FILES (matlab binary format, version v6)
*** these will be overwritten if you run the C++ program (below) ***

V_alpha_00_sigma_05.mat             Value function used for Figure 1
V_alpha_09_sigma_05_habit.mat       Value function used for Figure 2
V_alpha_09_sigma_05_loss.mat        Value function used for Figure 3

V_alpha_09_sigma_05_loss_A_15.mat   Value function used for Figure 4 (a) and (b) (red dotted line)
V_alpha_09_sigma_05_habit_A_15.mat  Value function used for Figure 4 (a) and (b) (blue dashed line)
V_alpha_09_sigma_05_A_15.mat        Value function used for Figure 4 (a) and (b) (black solid line)

V_alpha_09_sigma_05_loss_A_05.mat   Value function used for Figure 4 (c) and (d) (red dotted line)
V_alpha_09_sigma_05_habit_A_05.mat  Value function used for Figure 4 (c) and (d) (blue dashed line)
V_alpha_09_sigma_05_A_05.mat        Value function used for Figure 4 (c) and (d) (black solid line)


C PROGRAMS

Value_fct.c           Calculates an approximation of the
                      solution to the Bellman equation

                      Usage:
                      Parameters and name of output file (matlab format, suffix is .mat)
                      are set in lines 129-147 of the code, self-explanatory

                      The output file is used in deriving the
                      optimal consumption policy (see Matlab scripts above)

Value_fct.vc_proj     VC++ project file

ems_matrix_types.h    Auxiliary C++ files to handle large vectors and matrixes
ems_tupel.h           (author: Andreas Tupak, Swiss Banking Institute, University of Zurich)
ems_funcobjects.cpp
ems_vector.cpp
ems_matrixt1.cpp

stdafx.h              C++ files
stdafx.cpp
targetver.h

ReadMe_cpp.txt        Project overview produced by VC++