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A company ABC is going to manage an investment portfolio over a 6-year time horizon. It begins with $1000,
and at various times it can invest in one or more of the following:
Savings account X, annual yield 5%.
Security Y, 2-year maturity, total yield 12% if bought now, 11% thereafter.
Security Z, 3-year maturity, total yield 18%.
Security W, 4-year maturity, total yield 24%.
The company can make savings deposits or withdrawals anytime. ABC can buy Security Y any year but year 3. It can buy
Security Z anytime after the first year. Security W, now available, is a one-time opportunity
The objective is to maximize final yield, thus Linear Programming equations are:
max v
subject .to.
x1 + y1 + w1 = 1000
x2 + y2 + z2 = 1:05×1
x3 + z3 = 1:05×2 + 1:12y1
x4 + y4 + z4 = 1:05×3 + 1:11y2
x5 + y5 = 1:05×4+ 1:18z2+ 1:24w1
x6 = 1:05×5 + 1:11y4 + 1:18z3
v = 1:05×6 + 1:11y5 + 1:18z4;
xt; yt; zt; wt >/= 0
Model the above problem in exce
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