Linear programming

Feb 3rd, 2012
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Blair & Rosen, Inc. (B&R) is a brokerage firm that specializes in investment portfolios designed to meet the specific risk tolerances of its clients. A client who contacted B&R this past week has a maximum of $50,000 to invest. B&R’s investment advisor decides to recommend a portfolio consisting of two investment funds: an Internet fund and a Blue Chip fund. The Internet fund has a projected annual return of 12 percent, and the Blue Chip fund has a projected annual return of 9 percent. The investment adviser requires that at most $35,000 of the client’s funds should be invested in the Internet fund. B&R services include a risk rating for each investment alternative. The Internet fund, which is the more risky of the two investment alternatives, has a risk rating of 6 per $1,000 invested. The Blue Chip fund has a risk rating of 4 per $1,000 invested. a. Formulate a linear programming model to find the best investment strategy for this client.

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Microsoft Excel 12.0 Answer ReportWorksheet: [Book1]Sheet1Report Created: 3/12/2015 7:16:44 PMTarget Cell (Max)CellName$D$14 Annual return Blue chipOriginal Value$0Final Value$5,100Adjustable CellsCellName$C$11 Values Internet Fund$D$11 Values Blue chipOriginal Value00Final Value2000030000ConstraintsCellName$C$18 Internet Fund$C$19 Internet Fund$C$20 Internet FundCell ValueFormulaStatus50000 $C$18<=$E$18 Binding20000 $C$19<=$E$19 Not Binding240 $C$20<=$E$20 BindingSlack0150000Linear programmingVariable Internet Fund Blue chipValues2000030000Coefficient0.120.09Annual returnConstraintsLHS$5,100 MaximiseOperator50000 <=20000 <=240 <=RHS5000035000240Name: Linear programming Description:Blair & Rosen, Inc. (B&R) is a brokerage firm that specializes in investment portfolios designed to meet the specific risk tolerances of its clients. A client who contacted B&R this past week has a maximum of $50,000 to invest. B&Rs investment advisor decides to recommend a portfolio consisting of two investment funds: an Internet fund and a Blue Chip fund. The Internet fund has a projected annual return of 12 percent, and t

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