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

Exercise 25

Reconsider the Welte Mutual Funds problem from Section 4.2. Define your decision variables as the fraction of funds invested in each security. Also, modify the constraints
limiting investments in the oil and steel industries as follows: No more than 50% of the total funds invested in stock (oil and steel) may be invested in the oil industry and no more than 50% of the funds invested in stock (oil and steel) may be invested in the steel industry.
a. Solve the linear programming model. What fraction of the portfolio should be invested in each type of security?
b. How much should be invested in each type of security?
c. What are the total earnings for the portfolio?
d. What is the marginal rate of return on the portfolio? That is, how much more could be earned by investing one more dollar in the portfolio?