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Unformatted text preview: ORIE 3300/5300 Fall 2011 Prof. Bland Problem Set 8 Due 11/1/2011, 11:40 a.m. Submit hardcopy in Hollister B14 at the beginning of lecture on 11/1 . Only 1 sub- mission from each group. This problem set is a continuation of Recitation Exercise 8. The problem set begins with problem 3, a continuation of problem 1 on the recitation exercise; problem 4 here is a continuation of problem 2 on the recitation exercise. If you worked with a partner on Recitation Exercise 8, work with the same partner on this (or you may work alone). 3. Return to problem 1 from the recitation exercise. (a) For your optimal solutions from parts 1(c) and 1(e) give the percentage of the total holdings in the portfolio that is invested in each of the five types of bonds. (b) Suppose now that the portfolio manager can borrow up to one million dollars at 5.5 percent before taxes, resulting in an after-tax rate (a cost) of 2.75%. Modify your AMPL files to incorporate this possibility and solve....
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This note was uploaded on 10/31/2011 for the course OR&IE 3300 at Cornell.