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A portfolio management company must develop an investment strategy for its customer during the next three years. At present time (time 0), + 100,000 is available for investment. Investment A, B, C, D and E are available. The cash flow associated with investing $1 in each investment is given below (in dollars). Time Invesment 1 2 A. -1 0,5 В -1 0,5 1 -1 1,20 D -1 1,9 E -1 1,5 For example, +1 invested in investment B requires a $1 invested in investment B requires a $1 cash outflow at time 1 and returns $ 0.50 at time 2 and $1 at time 3. In order to ensure, the customer's portfolio is diversified, the company requires that at most $75,000 be placed in any single investment. In addition to investments A-E, the company can earn interest at 8% per year by keeping uninvested cash in money market funds. Returns from investments may be immediately reinvested. For instance, the positive cash flow received from investment C at time 1 may immediately be reinvested in investment B. The company cannot barrow funds so the cash available for investment at any time is limited to cash on hand. Write a linear program that will maximize cash on hand at time 3.

A portfolio management company must develop an investment strategy for its customer during the next three years. At present time (time 0), + 100,000 is available for investment. Investment A, B, C, D and E are available. The cash flow associated with investing $1 in each investment is given below (in dollars). Time Invesment 1 2 A. -1 0,5 В -1 0,5 1 -1 1,20 D -1 1,9 E -1 1,5 For example, +1 invested in investment B requires a $1 invested in investment B requires a $1 cash outflow at time 1 and returns $ 0.50 at time 2 and $1 at time 3. In order to ensure, the customer's portfolio is diversified, the company requires that at most $75,000 be placed in any single investment. In addition to investments A-E, the company can earn interest at 8% per year by keeping uninvested cash in money market funds. Returns from investments may be immediately reinvested. For instance, the positive cash flow received from investment C at time 1 may immediately be reinvested in investment B. The company cannot barrow funds so the cash available for investment at any time is limited to cash on hand. Write a linear program that will maximize cash on hand at time 3.

Practical Management Science
Practical Management Science
6th Edition
ISBN:9781337406659
Author:WINSTON, Wayne L.
Publisher:WINSTON, Wayne L.
Chapter4: Linear Programming Models
Section: Chapter Questions
Problem 62P
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A portfolio management company must develop an investment strategy for its customer during the next three years. At present time (time 0), + 100,000 is available for investment. Investment A, B, C, D and E are available. The cash flow associated with investing $1 in each investment is given below (in dollars). Time Invesment 1 2 A. -1 0,5 В -1 0,5 1 -1 1,20 D -1 1,9 E -1 1,5 For example, +1 invested in investment B requires a $1 invested in investment B requires a $1 cash outflow at time 1 and returns $ 0.50 at time 2 and $1 at time 3. In order to ensure, the customer's portfolio is diversified, the company requires that at most $75,000 be placed in any single investment. In addition to investments A-E, the company can earn interest at 8% per year by keeping uninvested cash in money market funds. Returns from investments may be immediately reinvested. For instance, the positive cash flow received from investment C at time 1 may immediately be reinvested in investment B. The company cannot barrow funds so the cash available for investment at any time is limited to cash on hand. Write a linear program that will maximize cash on hand at time 3.
Transcribed Image Text:A portfolio management company must develop an investment strategy for its customer during the next three years. At present time (time 0), + 100,000 is available for investment. Investment A, B, C, D and E are available. The cash flow associated with investing $1 in each investment is given below (in dollars). Time Invesment 1 2 A. -1 0,5 В -1 0,5 1 -1 1,20 D -1 1,9 E -1 1,5 For example, +1 invested in investment B requires a $1 invested in investment B requires a $1 cash outflow at time 1 and returns $ 0.50 at time 2 and $1 at time 3. In order to ensure, the customer's portfolio is diversified, the company requires that at most $75,000 be placed in any single investment. In addition to investments A-E, the company can earn interest at 8% per year by keeping uninvested cash in money market funds. Returns from investments may be immediately reinvested. For instance, the positive cash flow received from investment C at time 1 may immediately be reinvested in investment B. The company cannot barrow funds so the cash available for investment at any time is limited to cash on hand. Write a linear program that will maximize cash on hand at time 3.
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ISBN:
9781337406659
Author:
WINSTON, Wayne L.
Publisher:
Cengage,
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