Homework Help: Maths

Posted by Sarah on Tuesday, December 8, 2009 at 6:43am.

An Investment Fund manager is required to maximise the return on a portfolio of bonds given the following information:
Bond types Projected rate of return
Benchmark government 9.1
UK gilts 10.3
Global investment grade (US $) 6.7
Global investment grade (euro) 8.7
Global investment grade (£) 5.9
High yield emerging market 8.8
The limitations imposed on the fund manager are:
(i) The sum of Global investment grade (US $) and global investment grade (£) bonds cannot be less than 30% of the total investment.
(ii) Global investment grade (euro) is required to be no more than 20% of the total investment.
(iii) The sum of Benchmark government, UK gilts and high yield emerging market bonds must account for at least 40% but no more than 50% of the total investment.
(iv) The sum allocated to the portfolio is £250 million.
(v) The sum of Global investment grade (US $) and global investment grade (£) cannot exceed 50% of the total investment.

(a) Formulate the linear programme in standard form to maximise the projected return.

Math - Writeacher, Tuesday, December 8, 2009 at 8:02am
Please understand that no one here will do your work for you. However, we will be happy to read over whatever you come up with and make suggestions and/or corrections.

Please post what you think, and someone might be able to help you.
Maths - Sarah, Tuesday, December 8, 2009 at 8:28am
Max Z = 9.1x1 + 10.3x2 + 6.7x3 +8.7x4 + 5.9x5 + 8.8x6

Subject to:

x3 + x5 ¡İ 750,000
x3 + x5 ¡Ü 1,500,000
x4 ¡Ü 500,000
x1 + x2 + x6 ¡İ 1,000,000
x1 + x2 + x6 ¡Ü 1,500,000

I feel the constraints are wrong. The next question requires you to set up the initial simplex tableau and the constraints then don't make sense.
Maths - Sarah, Tuesday, December 8, 2009 at 8:37am
Sorry the symbols are showing strangely, they are greater/less than or equal to.
Maths - bobpursley, Tuesday, December 8, 2009 at 9:33am
On the constraints, where did you get the figures? All I see in the problem statement is percents?
Maths - Sarah, Tuesday, December 8, 2009 at 9:49am
I converted the 250 million into figures, was that wrong?
Maths - Sarah, Tuesday, December 8, 2009 at 9:54am
I have to input the information into an initial simple tableau after.
Maths - bobpursley, Tuesday, December 8, 2009 at 9:59am
I dont see anything wrong with the constraints.
Maths - Sarah, Tuesday, December 8, 2009 at 10:03am
Was I right to convert them?

When I add them into the initial simplex tableau it's filled with 1s is that normal?
Maths - bobpursley, Tuesday, December 8, 2009 at 10:12am
I cannot comment on your tableau operation, I dont know them. Yes, the percents were properly converted.

Answer this Question

Related Questions

FINANCIAL ACCOUNTING - A portfolio manager is managing a $10 million portfolio. ...
Algebra investment - An investor had a total of 25,000 put into a portfolio of ...
math - A winner of the Florida Lotto has decided to invest $500,000 per year. ...
Math - A winner of the Florida Lotto has decided to invest $500,000 per year. ...
economics - As an investor you are faced with two choices investing in a risky ...
Linear Programming Investment Strategy - How can I set this question up? Client ...
Finance - 27.You have invested 40 percent of your portfolio in an investment ...
Investments/Portfolio Mgt - How would the following be solved... Consider a ...
math - Does the structure of a company's portfolio matters in deciding on ...
Accounting - Does the structure of a company's portfolio matters in deciding...

For Further Reading

First Name:
School Subject:
Answer: