(Solution) IE 460 Extra Credit - Financial Engineering (Sharpe's LP Model) To be done individually. (Due April 27, 2015) Sharpe's Portfolio Optimization Model... > Snapessays.com

(Solution) IE 460 Extra Credit - Financial Engineering (Sharpe's LP Model) To be done individually. (Due April 27, 2015) Sharpe's Portfolio Optimization Model...

Hello,

I need help with this problem. It involves financial engineering. I hope you can help with it :)IE 460

Extra Credit - Financial Engineering (Sharpe’s LP Model)

To be done individually. (Due April 27, 2015)

Sharpe’s Portfolio Optimization Model

An investor has \$100,000 to invest in mutual funds.

She has identified 10 funds for

possible investment.

Type of Fund

Average Annual

Return

Beta Risk

Growth Funds

Fund 1

30%

1.4

Fund 2

20%

1.2

Fund 3

15%

1.0

Fund 4

25%

1.3

Growth and Income Funds

Fund 5

16%

0.9

Fund 6

17%

0.95

Fund 7

12%

0.75

Income funds

Fund 8

8.0

0.6

Fund 9

6.0

0.4

Money Market Fund

Fund 10

4.0

0.0

Even though the investor is interested in the “Growth” of her portfolio, she has the following

investment restrictions.

(i)

No more than \$20,000 should be invested in any one fund.

(ii)

Between 20 and 40% should be invested in growth funds.

(iii)

At least \$5,000 should be available as ready cash in the money market fund.

(iv)

At least 10% should be invested in income funds.

(v)

At least 15% should be invested in growth and income funds.

Formulate the problem of determining the optimal investment portfolio as a bi-criteria problem if

the objectives were to maximize portfolio return and minimize portfolio’s Beta Risk.

You must

define all your variables clearly, and write out the constraints and the objective functions.

Solution details:
STATUS
Answered
QUALITY
Approved
ANSWER RATING

This question was answered on: Sep 21, 2023

Solution~00021147718997.zip (25.37 KB)

This attachment is locked

Our expert Writers have done this assignment before, you can reorder for a fresh, original and plagiarism-free copy and it will be redone much faster (Deadline assured. Flexible pricing. TurnItIn Report provided)

STATUS

Answered

QUALITY

Approved

DATE ANSWERED

Sep 21, 2023

EXPERT

Tutor

ANSWER RATING

#### GET INSTANT HELP

We have top-notch tutors who can do your essay/homework for you at a reasonable cost and then you can simply use that essay as a template to build your own arguments.

You can also use these solutions:

• ■ As a reference for in-depth understanding of the subject.
• ■ As a source of ideas / reasoning for your own research (if properly referenced)
• ■ For editing and paraphrasing.

This we believe is a better way of understanding a problem and makes use of the efficiency of time of the student.