Search found 2 matches

by confused
2 years ago
Forum: Modeling
Topic: Struggling with two-stage stochastic model implementation
Replies: 3
Views: 2618

Re: Struggling with two-stage stochastic model implementation

Thank you very much! You helped me a lot. Here is slightly changed verison which should work. $title Two stage asset allocation model Sets n "assets" / att, gmc, usx / s "scenarios" / s1*s12 / ; Table r_scenarios(s,n) "scenario returns from assets" att gmc usx s1 1.300 ...
by confused
2 years ago
Forum: Modeling
Topic: Struggling with two-stage stochastic model implementation
Replies: 3
Views: 2618

Struggling with two-stage stochastic model implementation

Hello! Being new to GAMS I´m struggling with implementation of a simple two stage model, especially the EMP annotation part. The model is described in the picture: model.PNG Variable r-2 - stock returns - is random and I want to approximate it by scenarios. lambda_2 and alpha are constants. I starte...