Linear Programming

1) Formulate the Dual LP model. Write your detailed model in Words doc and solve it in excel.

2) Perform sensitivity analysis in Excel.

Linear programming model for assets allocation of a 1 period (S-years) buy and-hoid investment wit hout rebalancing Let x, Amount in S invested in SOPR STI ETF xAmount in $ inveted in SDPR S&PS0O ETF x,Amount in S inveted in XT FTSE China 50 ET x-Amount in $ invested in Shares MSCI India ETF Amount in $ inestedin SDPR Gold ETF Amount in $ invested in ABF SG Bond ET Z- Total profit Constraints Capital available $30000 2. At least 30% of total invested capital must be in bond fund. 3. S% of invested capital must be n gold fund. Ratio of amount inveted in developed to emerging markets funds must be at least 2 5 Ratio of amount invested in developed local to developed oversea markets funds must be at least 15 6. At least 10% of invested capital must be in emerging markets funds. 7. Overall average risk rating of the portfolio must not exceed 7 Subject to: 121 13 15 16) References Linear programming model for assets allocation of a 1 period (S-years) buy and-hoid investment wit hout rebalancing Let x, Amount in S invested in SOPR STI ETF xAmount in $ inveted in SDPR S&PS0O ETF x,Amount in S inveted in XT FTSE China 50 ET x-Amount in $ invested in Shares MSCI India ETF Amount in $ inestedin SDPR Gold ETF Amount in $ invested in ABF SG Bond ET Z- Total profit Constraints Capital available $30000 2. At least 30% of total invested capital must be in bond fund. 3. S% of invested capital must be n gold fund. Ratio of amount inveted in developed to emerging markets funds must be at least 2 5 Ratio of amount invested in developed local to developed oversea markets funds must be at least 15 6. At least 10% of invested capital must be in emerging markets funds. 7. Overall average risk rating of the portfolio must not exceed 7 Subject to: 121 13 15 16) References