This preview shows page 1. Sign up to view the full content.
Unformatted text preview: Data: p i = purchase price for stock i c i = current price for stock i v i = expected value in 1 year for stock i Variables: x i = number of shares to sell of stock i Formulation: max ∑ 10 i =1 (100-x i ) v i s.t. ∑ 10 i =1 ( c i x i-. 3( c i-p i ) x i-. 01 c i x i ) ≥ 30 , 000 (1) x i ≤ 100 x i ≥ The objective is to maximize the expected value of the stock remaining in 1 year. Constraint 1 ensures that we get $30,000 from selling stock minus the transaction costs and taxes. 1...
View Full Document
This homework help was uploaded on 04/02/2008 for the course IEOR 162 taught by Professor Zhang during the Spring '07 term at Berkeley.
- Spring '07