Recall the Innis Investments problem (Chapter 2, Problem 39). Letting S= units purchased in the stock fund M= units purchased in the money market fund leads to the following formulation: Min 8S + 3M s.t. 50S + 100M≤ 1,200,000 funds available 5S + 4M≥ 60,000 Annual income M≥ 3,000 Units in money market S, M≥ 0 a. What is the optimal solution, and what is the minimum total risk? b. Specify the objective coefficient ranges. c. How much annual income will be earned by the portfolio? d. What is the rate of return for the portfolio? e. What is the dual value for the fund's available constraint? f. What is the marginal rate of return on extra funds added to the portfolio?
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Recall the Innis Investments problem (Chapter 2, Problem 39). Letting
S= units purchased in the stock fund
M= units purchased in the
leads to the following formulation:
Min 8S + 3M
s.t.
50S + 100M≤ 1,200,000 funds available
5S + 4M≥ 60,000 Annual income
M≥ 3,000 Units in money market
S, M≥ 0
a. What is the optimal solution, and what is the minimum total risk?
b. Specify the objective coefficient ranges.
c. How much annual income will be earned by the portfolio?
d. What is the
e. What is the dual value for the fund's available constraint?
f. What is the marginal rate of return on extra funds added to the portfolio?
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