12-16soln

2

Introduction to Financial Engineering, ISyE 6227 Chapter 12, Problem 16 Solution Growth 1 1.6 1.5 1.4 1.3 1.2 1.15 1.1 1.05 1.02 1.01 1 1.6 2.4 3.36 4.36 8 5.24 2 6.02 8 6.63 1 6.96 2 7.10 1 7.71 2 5 6 7.2 8.64 10.3 7 12.4 4 14.9 3 17.9 2 21.5 25.8 30.9 6 4.5 5.4 6.48 7.77 6 9.33 1 11.2 13.4 4 16.1 2 19.3 5 23.2 2 4.05 4.86 5.83 2 6.99 8 8.39 8 10.0 8 12.0 9 14.5 1 17.4 1 3.64 5 4.37 4 5.24 9 6.29 9 7.55 8 9.07 10.8 8 13.0 6 3.28 1 3.93 7 4.72 4 5.66 9 6.80 2 8.16 3 9.79 6 2.95 2 3.54 3 4.25 2 5.10 2 6.12 2 7.34 7 Lumber Price 2.65 7 3.18 9 3.82 6 4.59 2 5.51 2.39 1 2.87 3.44 4 4.13 2 2.15 2 2.58 3 3.09 9 1.93 7 2.32 5 1.74 3 23.1 3 31.1 3 40.6 4 51.9 5 65.4 1 81.4 5 100. 6 123. 4 150. 7 183. 2 222 20.6 8 28.0 6 36.8 1 47.2 59.5 5 74.2 3 91.7 112. 5 137. 4 166. 5 18.7 3 25.5 7 33.6 7 43.2 6 54.6 5 68.1 6 84.1 9 103. 1 124. 9 17.2 7 23.6 4 31.1 7 40.0 7 50.6 2 63.1 5 77.2 9 93.6 8 16.3 2 22.2 8 29.3 2 37.5 9 47.3 6 57.9 7 70.2 6 15.8 8 21.4 9 28.1 9 35.5 2 43.4 8 52.6 9 Optimal Value 16.0 2 21.1 4 26.6 4 32.6 1 39.5 2 Bold = Cut 15.8 19.9 24.4 29.6

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Page 1: 12-16Soln

Introduction to Financial Engineering, ISyE 6227Chapter 12, Problem 16 Solution

Growth1 1.6 1.5 1.4 1.3 1.2 1.15 1.1 1.05 1.02 1.011 1.6 2.4 3.36 4.368 5.242 6.028 6.631 6.962 7.101 7.712

5 6 7.2 8.64 10.37 12.44 14.93 17.92 21.5 25.8 30.964.5 5.4 6.48 7.776 9.331 11.2 13.44 16.12 19.35 23.22

4.05 4.86 5.832 6.998 8.398 10.08 12.09 14.51 17.413.645 4.374 5.249 6.299 7.558 9.07 10.88 13.06

3.281 3.937 4.724 5.669 6.802 8.163 9.7962.952 3.543 4.252 5.102 6.122 7.347

Lumber Price 2.657 3.189 3.826 4.592 5.512.391 2.87 3.444 4.132

2.152 2.583 3.0991.937 2.325

1.743

23.13 31.13 40.64 51.95 65.41 81.45 100.6 123.4 150.7 183.2 22220.68 28.06 36.81 47.2 59.55 74.23 91.7 112.5 137.4 166.5

18.73 25.57 33.67 43.26 54.65 68.16 84.19 103.1 124.917.27 23.64 31.17 40.07 50.62 63.15 77.29 93.68

16.32 22.28 29.32 37.59 47.36 57.97 70.2615.88 21.49 28.19 35.52 43.48 52.69

Optimal Value 16.02 21.14 26.64 32.61 39.52Bold = Cut 15.86 19.98 24.46 29.64

14.98 18.34 22.2313.76 16.67

12.5

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