Recall the Innis Investments problem (Chapter 7, Problem 39). Letting S = units purchased in the stock
Question:
Recall the Innis Investments problem (Chapter 7, Problem 39). Letting
S = units purchased in the stock fund
M = units purchased in the money market fund
leads to the following formulation:
The sensitivity report is shown in Figure 8.17.
a. What is the optimal solution, and what is the minimum total risk?
b. Specify the objective coefficient ranges.
c. How much annual income will be earned by the portfolio?
d. What is the rate of return for the portfolio?
e. What is the shadow price for the funds available constraint?
f. What is the marginal rate of return on extra funds added to the portfolio?
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Related Book For
Quantitative Methods for Business
ISBN: 978-0840062345
12th edition
Authors: David Anderson, Dennis Sweeney, Thomas Williams, Jeffrey Cam
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