Location via proxy:   [ UP ]  
[Report a bug]   [Manage cookies]                
Scribd Logo
Upload

Welcome to Scribd!

  • 17 views

    220 Lecture08

    Uploaded by

    api-26315128
    The document describes an optimization problem with decision variables (A, B, C, D) across six months. The objective is to minimize an initial value subject to cash flow, risk, and maturity constraints. The decision variables represent investments with different rates, risks, and maturities each month.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd

    220 Lecture08

    Uploaded by

    api-26315128
    17 views3 pages
    The document describes an optimization problem with decision variables (A, B, C, D) across six months. The objective is to minimize an initial value subject to cash flow, risk, and maturity constraints. The decision variables represent investments with different rates, risks, and maturities each month.

    Original Title

    220-Lecture08

    Copyright

    © Attribution Non-Commercial (BY-NC)

    Available Formats

    XLS, PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    The document describes an optimization problem with decision variables (A, B, C, D) across six months. The objective is to minimize an initial value subject to cash flow, risk, and maturity constraints. The decision variables represent investments with different rates, risks, and maturities each month.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Download as xls, pdf, or txt
    17 views3 pages

    220 Lecture08

    Uploaded by

    api-26315128
    The document describes an optimization problem with decision variables (A, B, C, D) across six months. The objective is to minimize an initial value subject to cash flow, risk, and maturity constraints. The decision variables represent investments with different rates, risks, and maturities each month.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Download as xls, pdf, or txt
    of 3

    Decision variables

    Month 1 Month 2 Month 3 Month 4 Month 5 Month 6


    Initial 683176.41 Rate Risk
    A 0 0 2672.5 7667.67 0 0 1.02 1
    B 461836.64 325328.42 344497.61 1.04 4
    C 221339.78 229665.07 1.06 9
    D 0 1.1 7

    Objective function
    Min 683176.41

    Constraints
    Cash flow Month 1 Month 2 Month 3 Month 4 Month 5 Month 6 End
    LHS 0 0 150000 0 0 0 600000
    Type = = = = = = =
    RHS 0 0 150000 0 0 0 600000
    Risk Month 1 Month 2 Month 3 Month 4 Month 5 Month 6
    LHS ### ### 0 0 0 0
    Type <= <= <= <= <= <=
    RHS 0 0 0 0 0 0
    Maturity Month 1 Month 2 Month 3 Month 4 Month 5 Month 6
    LHS ### ### ### ### ### ###
    Type <= <= <= <= <= <=
    RHS 0 0 0 0 0 0
    Decision variables
    Month 1 Month 2 Month 3 Month 4 Month 5 Month 6
    Initial 683176.41 Rate Risk
    A 0 0 2672.5 7667.67 0 0 1.02 -5
    B 461836.64 325328.42 344497.61 1.04 -2
    C 221339.78 229665.07 1.06 3
    D 0 1.1 1

    Objective function
    Min 683176.41

    Constraints
    Cash flow Month 1 Month 2 Month 3 Month 4 Month 5 Month 6 End payment
    LHS 0 0 150000 0 0 0 600000
    Type = = = = = = =
    RHS 0 0 150000 0 0 0 600000

    Ave Risk Month 1 Month 2 Month 3 Month 4 Month 5 Month 6


    LHS ### ### 0 0 0 0
    Type <= <= <= <= <= <=
    RHS 0 0 0 0 0 0

    Ave Maturity Month 1 Month 2 Month 3 Month 4 Month 5 Month 6


    LHS ### ### ### ### ### ###
    Type <= <= <= <= <= <=
    RHS 0 0 0 0 0 0
    Maturity 1 Maturity 2 Maturity 3 Maturity 4 Maturity 5 Maturity 6
    -1.5 -1.5 -1.5 -1.5 -1.5 -1.5
    -0.5 -1.5 -0.5 -1.5 -0.5 -1.5
    0.5 -0.5 -1.5 0.5 -0.5 -1.5
    3.5 2.5 1.5 0.5 -0.5 -1.5
    Redundant

    You might also like