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Unformatted text preview: ORIE 3300/5300 Fall 2009 Prof. Bland Problem Set 3 Due 9/22/2009, 11:40 a.m. Submit at the beginning of lecture. Submit hardcopy with the standard problem set cover sheet as the first page. Late submissions will be accepted with no penalty until 11:40 a.m. on 9/24; no submissions will be accepted later than that. This problem set is a continuation of Recitation Exercise 2. The problem set begins with problem 2(f). Problems 1 and 2(a)-(e) were on the recitation exercise. If you did not complete problem 2(a)-(e) in recitation, submit your solutions to those parts with this problem set. If you worked with partner(s) on Recitation Exercise 2, work with the same partner(s) on this (or you may work alone). Only one submission for each partnership. 2 (continued). Return to the problem below from your reading in Bradley, Hax, and Magnanti. A portfolio manager in charge of part of a bank portfolio has $10 million to in- vest. The securities available for purchase, as well as their respective quality ratings, maturities, and yields are shown in the table below: Bond Bond Type Bank’s QS Years to Maturity Yield to Maturity After Tax Yield A Municipal 2 9 4.3% 4.3% B Agency 2 15 5.4 2.7 C Government 1 4 5.0 2.5 D Government 1 3 4.4 2.2 E Municipal 5 2 4.54....
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This note was uploaded on 10/29/2011 for the course ORIE 3310 taught by Professor Bland during the Spring '08 term at Cornell University (Engineering School).
- Spring '08