A Company Is Considering Investing a Total Amount of $2

Essay

A company is considering investing a total amount of $2.50 million in four bonds.The expected annual return,the worst-case annual return on each bond,and the "duration" of each bond are given in the table below.
The duration of a bond is a measure of the bond's sensitively to interest rates.The company wants to maximize the expected return from its bond investments,subject to the following constraints:
-The worst-case return of the bond portfolio must be at least 90%.
-The average duration of the portfolio must be at most 7
-Because of diversification requirements,at most 35% of the total amount invested in a single bond.
Determine how the company can maximize the expected return on its investment.