moduleBbforms

moduleBbforms - Operations Operations Management Management...

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B-1 Operations Operations Management Management Linear Programming Linear Programming Module B - Harder Formulations Module B - Harder Formulations
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B-2 You are creating an investment portfolio from 4 investment options: stocks, real estate, T-bills (Treasury-bills), and cash. Stocks have an annual rate of return of 12% and a risk measure of 5. Real estate has an annual rate of return of 10% and a risk measure of 8. T-bills have an annual rate of return of 5% and a risk measure of 1. Cash has an annual rate of return of 0% and a risk measure of 0. The average risk of the portfolio can not exceed 5. At least 15% of the portfolio must be in cash. Formulate an LP to maximize the annual rate of return of the portfolio. Harder Formulation Example Harder Formulation Example
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B-3 Investment Formulation Investment Formulation Constraints: : Average risk 5 At least 15% in cash Investment Return Risk Stocks 0.12 5 8 Portfolio Real estate T-bills 0.10 0.05 1 5 Cash 0 0
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B-4 Investment Formulation
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This note was uploaded on 02/15/2012 for the course BA 252 taught by Professor Jamescampbell during the Winter '03 term at UMSL.

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moduleBbforms - Operations Operations Management Management...

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