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A company must formulate a linear program to determine how much its customer should invest in each of three funds: Fund A, Fund B, and
A company must formulate a linear program to determine how much its customer should invest in each of three funds: Fund A, Fund B, and Fund C. Data on the funds are: Projected rate of return Rate of return variance Correlation with: Fund B Fund C Fund A 1 Fund A 0.11 0.03 0.2 0.4 0.1 Fund B 0.09 0.015 0. 21 Fund C 0.05 0.007 0.4 0.1 The customer's portfolio must have a variance of no more than 0.01. Additionally, the amount invested in Fund A cannot be more than the amount invested in Fund C. Write the formulation (decision variables, objective function, constraints) of a nonlinear program to determine how to invest in these funds so as to maximize the portfolio's expected return. Remember to clearly define all decision variables. A company must formulate a linear program to determine how much its customer should invest in each of three funds: Fund A, Fund B, and Fund C. Data on the funds are: Projected rate of return Rate of return variance Correlation with: Fund B Fund C Fund A 1 Fund A 0.11 0.03 0.2 0.4 0.1 Fund B 0.09 0.015 0. 21 Fund C 0.05 0.007 0.4 0.1 The customer's portfolio must have a variance of no more than 0.01. Additionally, the amount invested in Fund A cannot be more than the amount invested in Fund C. Write the formulation (decision variables, objective function, constraints) of a nonlinear program to determine how to invest in these funds so as to maximize the portfolio's expected return. Remember to clearly define all decision variables
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