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Example 3. Investment Problem. Finco has the following investment available: Investment A. For each dollar invested at time 0, we receive $ 1.05 at time
Example 3. Investment Problem. Finco has the following investment available: Investment A. For each dollar invested at time 0, we receive $ 1.05 at time 1 and $ 1.30 at time 2. (Time (=now, time 1=one year from now; and so on). Investment B. For each dollar invested at time 1, we receive $ 1.60 at time 2 Investment C. For each dollar invested at time 2, we receive S 1.20 at time 3 At any time, leftover cash may be invested in T-bills, which pay 10% per year. At time 0, we have $ 100. At most, $ 50 can be invested in each investments A, B, and C. Formulate an LP problem that can be used to maximize Finco's cash on hand at time 3
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