Mathematics, 27.04.2021 16:10, tink921
An investor wants to invest up to $100,000 as follows:
X amount into a Certificate of Deposit (CD) that yields an expected annual return of 1% with a risk index of 1,
Y amount into a Bond with an expected annual return of 3% and a risk index of 4,
Z amount into a Stock with an expected annual return of 7% and a risk index of 8.
The investor’s objective is to maximize the total expected annual return of the investment.
However, to be prudent, the investor requires that:
The fraction of the total investment in X must be at least 20%.
The fraction of the total investment in Z must not exceed 50%.
The combined portfolio risk index must not exceed 5.
Required:
a. Set up this investment problem as a linear program, which has 3 variables, 3 basic constraints, and 4 special constraints.
b. Use an LP software to find the maximum expected annual return in dollars and the dollar values of X, Y, and Z for this best investment.
c. From the software solution, show the values of the dual variables for the four special constraints.
Answers: 2
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An investor wants to invest up to $100,000 as follows:
X amount into a Certificate of Deposit (CD)...
Mathematics, 18.01.2020 17:31
Mathematics, 18.01.2020 17:31
Mathematics, 18.01.2020 17:31