InClassCase2 - PeopleInvestSampleWriteup

# InClassCase2 - PeopleInvestSampleWriteup - OSCM 230 Linear...

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OSCM 230 Management Science Linear Programming: Sample Case Write-up Professor Dong ATTACHMENT I: Calculations for People's Investment Analysis The decision variables are defined as follows: Let EZ = \$ invested in Equities - Z Corporation EG = \$ invested in Equities - General Lee's Barbecue E/RF = \$ invested in Equities/Real Estate - First General REIT DW = \$ invested in Debt - Western California Electric DZ = \$ invested in Debt - Z Corporation DS = \$ invested in Debt - San Marcos Rapid Transit RG = \$ invested in Real Estate - Gala Apartment Partnership MT = \$ invested in Money - T-Bill Account MM = \$ invested in Money - Money Market Fund MA = \$ invested in Money - All Saver's Certificates (1) Fred's recommended portfolio comes from the optimal values maximization of the return: Objective: Max .15 EZ + .17 EG +.175 E/RF + .118 DW + .122 DZ + .12 DS + .22 RG + .096 MT + .105 MM + .126 MA S.T. (1) EG + E/RF + DW + DZ + DS + RG + MT + MM + MA 400000 (2) 100 EZ + 100 EG + 100 E/RF + 95 DW + 92 DZ + 79 DS + 80 MT + 100 MM 65 (EG + E/RF + DW + DZ + DS + RG + MT + MM + MA) (3) 60 EZ + 70 EG + 75 E/RF + 20 DW + 30 DZ + 22 DS + 50 RG + 10 MM 40 (EG + E/RF + DW + DZ + DS + RG + MT + MM + MA) (4) EZ + EG + E/RF 0.4 (EG + E/RF + DW + DZ + DS + RG + MT + MM + MA)
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InClassCase2 - PeopleInvestSampleWriteup - OSCM 230 Linear...

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