An individual has received an inheritance of $300,000 that he wishes to invest, over a period of three years, into a portfolio of two real estate pro ects, annual certificates of deposit, and a two-year Treasury bond to be purchased in the second year of the horizon. The first real estate pro ect requires the disbursement of $500 per share of the pro ect in the first year, $600 in the second year while, in the third year, the pro ect gives a return of $100. The second real estate pro ect has similar profile of outlays and returns with $700 disbursement in the first year, followed by another $400 outlay in the second year and a return of $150 in the third year. At the end of the three-year horizon, the discounted stream of income of pro ect 1 is valued at $300 while the present value of pro ect 2 is $450. The annual certificates of deposit can be opened at an interest rate of 2.5 percent per year. The Treasury bond yields a fixed yearly return of 3.2 percent. The investor wishes to count on a sum of $40,000 for living expenses. Let the horizon years be indexed by i = 1, 2, 3. Then, identify activities and constraints.

a) Solve this investment problem using either Microsoft Excel or GAMS.

b) Give a full report of the primal and dual solutions.

c) Verify that the complementary slackness conditions are satisfied.