# Recall the Innis Investments problem. Letting S = units purchased in the stock fund M = units purchased in the money market fund Leads to the following formulation: Min8S + 3M s.t. 50S + 100M 1,200,000Funds available 5S + 4M 60,000Annual income M 3,000Units in money market S, M 0 The computer solution is shown in

Chapter 8, Problems #10

Recall the Innis Investments problem. Letting

S = units purchased in the stock fund

M = units purchased in the money market fund

Min8S + 3M

s.t.

50S + 100M â‰¤ 1,200,000Funds available

5S + 4M â‰¥ 60,000Annual income

M â‰¥ 3,000Units in money market

S, M â‰¥ 0

The computer solution is shown in Figure.

THE MANAGEMENT SCIENTIST SOLUTION FOR THE INNIS INVESTMENTS PROBLEM

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 price for the funds available constraint?
f. What is the marginal rate of return on extra funds added to theportfolio?