LINEAR FROGRAMMING FORMULATION The Portfolio Selection Example A person wants to invest $10,000 into stocks: a high tech company (T) with an expected annual return of 12% and a risk index of 8; and a regulated power company (P) with an expected annual return of 6% and a risk index of 2, To limit risk, the combind portiolio riskust be no mor 6 and the proportion of investment in T must be less than 60%. Find the portfolio that will maximize the annual return R while meeting the risk limitations Maximize V = Return = 12T + 6P T+P=10 HOMEWORK ASSIGNMENTS Homework 10a (10 points): Formulate the Investment Portfolio problem with the requirement of investing up to $10,000, and solve it graphically. Homework 10b (5 points): Compute the increase in annual return if the total investment is increased by $1,000 Homework 10c (5 points): Compute the increase in annual return if the constraint of portfolio risk index is increased from 6 to 7. Homework 11: (5 points each) Solve the 3 examples and Homework 10 by computer. Bonus (20 points): Formulate Homework 9 as an LP problem and solve it by computer. LINEAR FROGRAMMING FORMULATION The Portfolio Selection Example A person wants to invest $10,000 into stocks: a high tech company (T) with an expected annual return of 12% and a risk index of 8; and a regulated power company (P) with an expected annual return of 6% and a risk index of 2, To limit risk, the combind portiolio riskust be no mor 6 and the proportion of investment in T must be less than 60%. Find the portfolio that will maximize the annual return R while meeting the risk limitations Maximize V = Return = 12T + 6P T+P=10 HOMEWORK ASSIGNMENTS Homework 10a (10 points): Formulate the Investment Portfolio problem with the requirement of investing up to $10,000, and solve it graphically. Homework 10b (5 points): Compute the increase in annual return if the total investment is increased by $1,000 Homework 10c (5 points): Compute the increase in annual return if the constraint of portfolio risk index is increased from 6 to 7. Homework 11: (5 points each) Solve the 3 examples and Homework 10 by computer. Bonus (20 points): Formulate Homework 9 as an LP problem and solve it by computer