CA Corporate has an available funds of $200,000 is considering for new investment opportunities. The investment portfolio of a variety of stocks has relevant financial data as follows: Stocks A B C D Price per share ($) 100 50 80 40 Annual rate of return 0.12 0.08 0.06 0.10 0.10 0.07 0.05 0.08 Risk measure per dollar invested (Higher values indicate greater risk) The risk measure provided by the firm's top financial advisor, indicates the relative uncertainty associated with the stock regarding the realization of its projected annual rate of return. Top management of CA Corporate has stipulated the following investment guidelines: 1. The annual rate of return for the portfolio must be at least 9%. 2. No one stock can count for more than 50% of the total dollar investment. For this overall situation, develop a linear programming model to yield an investment portfolio which minimizes total risk. What is the total risk and the total return, if the amount to be invested in stocks A, C and D are $333.50, $833.60 and $2500, respectively.
CA Corporate has an available funds of $200,000 is considering for new investment opportunities. The investment portfolio of a variety of stocks has relevant financial data as follows: Stocks A B C D Price per share ($) 100 50 80 40 Annual rate of return 0.12 0.08 0.06 0.10 0.10 0.07 0.05 0.08 Risk measure per dollar invested (Higher values indicate greater risk) The risk measure provided by the firm's top financial advisor, indicates the relative uncertainty associated with the stock regarding the realization of its projected annual rate of return. Top management of CA Corporate has stipulated the following investment guidelines: 1. The annual rate of return for the portfolio must be at least 9%. 2. No one stock can count for more than 50% of the total dollar investment. For this overall situation, develop a linear programming model to yield an investment portfolio which minimizes total risk. What is the total risk and the total return, if the amount to be invested in stocks A, C and D are $333.50, $833.60 and $2500, respectively.
Practical Management Science
6th Edition
ISBN:9781337406659
Author:WINSTON, Wayne L.
Publisher:WINSTON, Wayne L.
Chapter10: Introduction To Simulation Modeling
Section: Chapter Questions
Problem 46P
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