Finding the Optimum Input for a Simulation in Matlab
问题 I have the following simulation running in Matlab. For a period of 25 years, it simulates "Assets", which grow according to geometric brownian motion, and "Liabilities", which grow at a fixed rate of 7% each year. At the end of the simulation, I take the ratio of Assets to Liabilities, and the trial is successful if this is greater than 90%. All inputs are fixed except for Sigma (the standard deviation). My goal is to find the lowest possible value of sigma that will result in a ratio of