How do i build a linear programming model on excel using various share prices.

FOR EXAMPLE

You will be required to do the following:

1. calculate the annualized returns of ALSI, MAN and FIN

2. determine the risk free rate. Use the 364 day treasury bill in SA as your risk free proxy

3. calculate the optimal allocations to maximize the return given the following:

i. You have R1 000 000 to invest and all must be invested. (No leverage and no short selling)

ii. You must invest at least 30% in MAN and at least 30% in FIN. You may invest in the treasury bill to reduce the risk of portfolio but not more than 25%.

iii. The portfolio beta must be less than or equal to the market beta MAN has a beta of 1.2 and FIN 0.8 (initially)

4. determine the Treynor Ratio

5. calculate how much your portfolio outperforms the market.