An Introduction to Management Science 13th Edition by David Anderson,Dennis Sweeney ,Thomas Williams ,Jeffrey Camm, Kipp Martin

Exercise 15

Financial Analysts, Inc., is an investment firm that manages stock portfolios for a number of client. A new client is requesting that the firm handle an $80,000 portfolio. As an initial investment strategy, the client would like to restrict the portfolio to a mix of the following two stocks:
Let
a. Develop the objective function, assuming that the client desires to maximize the total annual return.
b. Show the mathematical expression for each of the following three constraints:
(1) Total investment funds available are $80,000.
(2) Maximum Oil Alaska investment is $50,000.
(3) Maximum Southwest Petroleum investment is $45,000.
Note : Adding the x ? 0 and y ? 0 constraints provides a linear programming model for the investment problem. A solution procedure for this model will be discussed in Chapter 2.