Linear Programming Case: Investment Strategy

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investmentstratlpanswer.xls
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Answer Report 1

Microsoft Excel 10.0 Answer Report
Worksheet: [investmentstratlpanswer.xls]initial
Report Created: 10/15/2003 9:49:11 AM
Target Cell (Max)
Cell Name Original Value Final Value
$I$17 Decision Variables RHS 94133.3333335085 94133.3333333334
Adjustable Cells
Cell Name Original Value Final Value
$D$17 Decision Variables Growth 248888.888888982 248888.888888889
$E$17 Decision Variables Income 160000.000000511 160000
$F$17 Decision Variables Money 391111.111112371 391111.111111111
Constraints
Cell Name Cell Value Formula Status Slack
$G$8 Budget LHS 800000 $G$8<=$I$8 Binding 0
$G$9 min growth fund LHS 88888.8888888889 $G$9>=$I$9 Not Binding 88888.8888888889
$G$10 max growth fund LHS -71111.1111111112 $G$10<=$I$10 Not Binding 71111.1111111112
$G$11 min income fund LHS -0.0000000001 $G$11>=$I$11 Binding 0
$G$12 max income fund LHS -2000000 $G$12<=$I$12 Not Binding 2000000
$G$13 min money mkt LHS 151111.111111111 $G$13>=$I$13 Not Binding 151111.111111111
$G$14 risk index LHS -0 $G$14<=$I$14 Binding 0

Sensitivity Report 1

Microsoft Excel 10.0 Sensitivity Report
Worksheet: [investmentstratlpanswer.xls]initial
Report Created: 10/15/2003 9:49:12 AM
Adjustable Cells
Final Reduced Objective Allowable Allowable
Cell Name Value Cost Coefficient Increase Decrease
$D$17 Decision Variables Growth 248888.888888889 0 0.18 1E+30 0.03
$E$17 Decision Variables Income 160000 0 0.125 0.02 0.5883333333
$F$17 Decision Variables Money 391111.111111111 0 0.075 0.105 0.06
Constraints
Final Shadow Constraint Allowable Allowable
Cell Name Value Price R.H. Side Increase Decrease
$G$8 Budget LHS 800000 0.1176666667 800000 1E+30 799999.999998305
$G$9 min growth fund LHS 88888.8888888889 0 0 88888.8888888889 1E+30
$G$10 max growth fund LHS -71111.1111111112 0 0 1E+30 71111.1111111112
$G$11 min income fund LHS -0.0000000001 -0.02 0 133333.333333278 106666.666666802
$G$12 max income fund LHS -2000000 0 0 1E+30 2000000
$G$13 min money mkt LHS 151111.111111111 0 0 151111.111111111 1E+30
$G$14 risk index LHS -0 0.1166666667 0 64000.0000000597 80000.0000000005

Limits Report 1

Microsoft Excel 10.0 Limits Report
Worksheet: [investmentstratlpanswer.xls]Limits Report 1
Report Created: 10/15/2003 9:49:12 AM
Target
Cell Name Value
$I$17 Decision Variables RHS 94133.3333333334
Adjustable Lower Target Upper Target
Cell Name Value Limit Result Limit Result
$D$17 Decision Variables Growth 248888.888888889 137777.777777785 74133.3333333346 248888.888888164 94133.3333332029
$E$17 Decision Variables Income 160000 160000 94133.3333333334 160000 94133.3333333334
$F$17 Decision Variables Money 391111.111111111 391111.111111111 94133.3333333334 391111.111111111 94133.3333333333

initial

initial Investment Strategy
Growth Income Money
Objective Function 0.18 0.125 0.075
Constraints
LHS RHS
Budget 1 1 1 800000 <= 800,000
min growth fund 0.8 -0.2 -0.2 88888.8888888888 >= 0
max growth fund 0.6 -0.4 -0.4 -71111.1111111111 <= 0
min income fund -0.2 0.8 -0.2 0.0000000001 >= 0
max income fund -0.5 0.5 -0.5 -240000 <= 0
min money mkt -0.3 -0.3 0.7 151111.111111111 >= 0
risk index 0.05 0.02 -0.04 0 <= 0
Growth Income Money
Decision Variables 248888.888888889 160000 391111.111111111 94133.3333333333

b

part b Investment Strategy
Growth Income Money
Objective Function 0.18 0.125 0.075
Constraints
LHS RHS
Budget 1 1 1 800000 <= 800,000
min growth fund 0.8 -0.2 -0.2 133333.333333333 >= 0
max growth fund 0.6 -0.4 -0.4 -26666.6666666666 <= 0
min income fund -0.2 0.8 -0.2 0 >= 0
max income fund -0.5 0.5 -0.5 -240000 <= 0
min money mkt -0.3 -0.3 0.7 106666.666666667 >= 0
risk index 0.045 0.015 -0.045 0 <= 0
Growth Income Money
Decision Variables 293333.333333333 160000 346666.666666667 98800

c

part c Investment Strategy
Growth Income Money
Objective Function 0.14 0.125 0.075
Constraints
LHS RHS
Budget 1 1 1 800000 <= 800,000
min growth fund 0.8 -0.2 -0.2 0 >= 0
max growth fund 0.6 -0.4 -0.4 -160000 <= 0
min income fund -0.2 0.8 -0.2 133333.333333333 >= 0
max income fund -0.5 0.5 -0.5 -106666.666666667 <= 0
min money mkt -0.3 -0.3 0.7 106666.666666667 >= 0
risk index 0.05 0.02 -0.04 -0 <= 0
Growth Income Money
Decision Variables 160000 293333.333333333 346666.666666667 85066.6666666667

d

part d Investment Strategy
Growth Income Money
Objective Function 0.18 0.125 0.075
Constraints
LHS RHS
Budget 1 1 1 800000 <= 800,000
min growth fund 0.8 -0.2 -0.2 53333.3333333334 >= 0
max growth fund 0.6 -0.4 -0.4 -106666.666666667 <= 0
min income fund -0.2 0.8 -0.2 53333.3333333333 >= 0
max income fund -0.5 0.5 -0.5 -186666.666666667 <= 0
min money mkt -0.3 -0.3 0.7 133333.333333333 >= 0
risk index 0.05 0.02 -0.04 0 <= 0
growth 1 -1 0.0000000001 <= 0
Growth Income Money
Decision Variables 213333.333333333 213333.333333333 373333.333333333 93066.6666666667

summary

initial Investment Strategy
Growth Income Money
Objective Function 0.18 0.125 0.075
Constraints
LHS RHS
Budget 1 1 1 800000 <= 800,000
min growth fund 0.8 -0.2 -0.2 88888.8888888888 >= 0
max growth fund 0.6 -0.4 -0.4 -71111.1111111111 <= 0
min income fund -0.2 0.8 -0.2 0.0000000001 >= 0
max income fund -0.5 0.5 -0.5 -240000 <= 0
min money mkt -0.3 -0.3 0.7 151111.111111111 >= 0
risk index 0.05 0.02 -0.04 0 <= 0
a Growth Income Money
Decision Variables 248888.888888889 160000 391111.111111111 94133.3333333333 0.1176666667
b. Growth Income Money
Decision Variables 293333.333333333 160000 346666.666666667 98800 0.1235
c Growth Income Money
Decision Variables 160000 293333.333333333 346666.666666667 85066.6666666667 0.1063333333
d growth 1 -1 88888.8888888887 <= 0
Growth Income Money
Decision Variables 213333.333333333 213333.333333333 373333.333333333 93066.6666666667 0.1163333333

Sheet1

# of parts probalility
1 0.2
2 0.1
3 0.3
4 0.4