11-19 A mutual fund manager wants to determine the level of future purchases to be made...
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11-19 A mutual fund manager wants to determine the level of future purchases to be made in the cate gories that follow: Expected appreciation Loss exposure Avg. holding time (yrs.) Brokerage cost Goal 2 Goal 3 Growth 15% 20% 2 1% Goal 4 Income 10% 5% 1 5% New Issues Warrants There is $1,000,000 to invest, and no more than half of the funds may be invested in any single category. The following goals must be met: Goal 1 20% 30% 3 2% 15% 40% 1 At least $140,000 in annualized price appreciation Total potential loss exposure no greater than $200,000 Average portfolio holding time no greater than 1.5 years Total brokerage cost not to exceed $15,000 These goals are listed in decreasing priority The manager uses penalty points of 5, 3, 2, and 1 for violating the respective goals. (a) Formulate this problem as a goal program. Find the optimal solution. (b) 11-19 A mutual fund manager wants to determine the level of future purchases to be made in the cate gories that follow: Expected appreciation Loss exposure Avg. holding time (yrs.) Brokerage cost Goal 2 Goal 3 Growth 15% 20% 2 1% Goal 4 Income 10% 5% 1 5% New Issues Warrants There is $1,000,000 to invest, and no more than half of the funds may be invested in any single category. The following goals must be met: Goal 1 20% 30% 3 2% 15% 40% 1 At least $140,000 in annualized price appreciation Total potential loss exposure no greater than $200,000 Average portfolio holding time no greater than 1.5 years Total brokerage cost not to exceed $15,000 These goals are listed in decreasing priority The manager uses penalty points of 5, 3, 2, and 1 for violating the respective goals. (a) Formulate this problem as a goal program. Find the optimal solution. (b)
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a Formulation of the Problem as a Goal Program The goal programming problem can be formulated as follows Maximize Z 015Growth 02New Issues 005Income 5... View the full answer
Related Book For
Basic Marketing Research
ISBN: 978-1133188544
8th edition
Authors: Tom J. Brown, Tracy A. Suter, Gilbert A. Churchill
Posted Date:
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