Module21HWSol - portfolios are not feasible: (1,2,3,4),...

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Module 21 Chapter 12 D6 Option Investment (M) PW(15%) (M) 1 $297 $241 2 $118 $221 3 $297 $377 4 $471 $716 5 $465 $757 6 $405 $179 7 $100 $573 8 $303 $283 9 $317 $647 10 $235 $665 Integer programming formulation: Max 241x 1 + 221x 2 + 377x 3 + 716x 4 + 757x 5 + 179x 6 + 573x 7 + 283x 3 + 647x 9 + 665x 10 s.t. 297x 1 + 118x 2 + 297x 3 + 471x 4 + 465x 5 + 405x 6 + 100x 7 + 303x 8 + 317x 9 + 235x 10 budget x 1 - x 2 0 x 4 + x 5 + x 6 1 x 8 + x 9 1 x 1 , x 2 , x 3 , x 4 , x 5 , x 6 , x 7 , x 8 , x 9 , x 10 : binary a) No budget constraint: x 1 = x 2 = x 3 = x 5 = x 7 = x 9 = x 10 = 1 b) $1.5 billion budget: x 3 = x 5 = x 7 = x 9 = x 10 = 1 c) $750 million budget: x 7 = x 9 = x 10 = 1 d) $300 million budget: x 2 = x 7 = 1
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A2 a) Number of possible portfolios: 2 5 = 32 b) Only (1,2,3,4,5) is not feasible. Hence, there are there 31 possible portfolios. c) There are only 26 possible portfolios when the budget is 12 and 10 billion yen. The following
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Unformatted text preview: portfolios are not feasible: (1,2,3,4), (1,2,3,5), (1,2,4,5), (1,3,4,5), (2,3,4,5) and (1,2,3,4,5). d) The solution to part a) will be reduced by 8. Solution to part b) will also be reduced by 8. Solution to part c) will be reduced by 7. e) With a budget of 7 billion yen, at most 2 projects can be selected. Hence, Japan 2 and Philippines results in the highest PW. f) In this case, Japan 2 and Thailand results in the highest PW. g) The solutions are as before. h) Integer programming formulation Max 8433.26x 1 + 11788.77x 2 + 3214.75x 3 + 6219.45x 4 + 3649.81x 5 s.t. 3031x 1 + 3154x 2 + 2692x 3 + 3152x 4 + 3128x 5 ≤ budget x 2 – x 1 ≤ 0 x 1 , x 2 , x 3 , x 4 , x 5 : binary...
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This note was uploaded on 01/11/2012 for the course EIN 4354 taught by Professor Tufecki during the Fall '08 term at University of Florida.

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Module21HWSol - portfolios are not feasible: (1,2,3,4),...

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