Recall the Inn is Investments problem (Chapter 2, Problem 39). Letting
S = units purchased in the stock fund
M = units purchased in the money market fund
Leads to the following formulation:
Min 8S + 3M
s.t.
50S + 100M ‰¤ 1200000 funds available
5S + 4M ‰¥ 60000 Annual incomes
M ‰¥ 3000 Units in money market
S, M ‰¥ 0
The computer solution is shown in Figure 3.16.
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 dual value for the funds available constraint?
f. What is the marginal rate of return on extra funds added to the portfolio?
Figure 3.16

Transcribed Image Text:

Optimal Objective Value- 860.00000 Variable Value Reduced Cost 560.00000 240.00000 0.00000 0.00000 Constraint Slack/Surplus Dual Value 1 0.00000 160.00000 0.00000 0.12500 0.00000 0.18750 Objective Coefficient Allowable Increase Allowable Decrease Variable 1.00000 1.25000 0.25000 0.15000 0.10714 0.25000 RHS Value Allowable Increase Allowable Decrease Constraint 2 3 4480.00000 2080.00000 1600.00000 1120.00000 Infinite 40.00000 160.00000 160.00000 320.00000