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    Deber 3

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    Martin
    This document discusses a nonlinear programming problem involving portfolio optimization. Specifically, it addresses a client who wants to invest $50,000 in two stocks - one lower risk blue chip stock and one higher risk speculative stock. The problem is formulated as a nonlinear programming model to determine the optimal allocation between the two stocks that maximizes return while managing risk based on the expected returns, variances and covariance of the two stocks provided. Nonlinear programming was applied to find the efficient frontier and optimal portfolio. Benefits of the analysis included identifying the portfolio with the minimum risk for a given level of return, examining risk across different portfolios, and establishing the most efficient region.

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    Deber 3

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    Martin
    185 views5 pages
    This document discusses a nonlinear programming problem involving portfolio optimization. Specifically, it addresses a client who wants to invest $50,000 in two stocks - one lower risk blue chip stock and one higher risk speculative stock. The problem is formulated as a nonlinear programming model to determine the optimal allocation between the two stocks that maximizes return while managing risk based on the expected returns, variances and covariance of the two stocks provided. Nonlinear programming was applied to find the efficient frontier and optimal portfolio. Benefits of the analysis included identifying the portfolio with the minimum risk for a given level of return, examining risk across different portfolios, and establishing the most efficient region.

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    DEBER DE INVESTIGACION DE OPERACIONES 2

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    This document discusses a nonlinear programming problem involving portfolio optimization. Specifically, it addresses a client who wants to invest $50,000 in two stocks - one lower risk blue chip stock and one higher risk speculative stock. The problem is formulated as a nonlinear programming model to determine the optimal allocation between the two stocks that maximizes return while managing risk based on the expected returns, variances and covariance of the two stocks provided. Nonlinear programming was applied to find the efficient frontier and optimal portfolio. Benefits of the analysis included identifying the portfolio with the minimum risk for a given level of return, examining risk across different portfolios, and establishing the most efficient region.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    185 views5 pages

    Deber 3

    Uploaded by

    Martin
    This document discusses a nonlinear programming problem involving portfolio optimization. Specifically, it addresses a client who wants to invest $50,000 in two stocks - one lower risk blue chip stock and one higher risk speculative stock. The problem is formulated as a nonlinear programming model to determine the optimal allocation between the two stocks that maximizes return while managing risk based on the expected returns, variances and covariance of the two stocks provided. Nonlinear programming was applied to find the efficient frontier and optimal portfolio. Benefits of the analysis included identifying the portfolio with the minimum risk for a given level of return, examining risk across different portfolios, and establishing the most efficient region.

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    Universidad San Francisco de Quito

    Investigación De Operaciones

    Martin Borja

    204052

    Deber 3
    Universidad San Francisco de Quito
    13.1-1) Read the referenced article that fully describes the OR study summarized in the
    application vignette presented in Sec. Briefly describe how nonlinear programming was
    applied in this study. Then list the various financial and nonfinancial benefits that resulted
    from this study.

    En el caso de programación no lineal puede llegar a aplicarse de manera que las variables xi hacen
    parte de una fracción perteneciente a i. Por lo cual el objetivo llega a ser la selección del portafolio
    cuyo riesgo tiene que ser mínimo en relación con todos los demás portafolios. Por otro lado, el
    Opti-Money da la oportunidad a los inversores de examinar el riesgo de entre los demás
    portafolios, por medio de la simetría en el caso de la variabilidad y por otro lado se da la asimetría
    en el riesgo de bajada. Cuando se llega a tener muy bien claro el riesgo, el objetivo llega a ser la
    formulación de una suma ponderada del riesgo que se encuentra dentro del mercado por lo tanto
    la región más eficiente ya estará establecida.

    13.1-4) A stockbroker, Richard Smith, has just received a call from his most important
    client, Ann Hardy. Ann has $50,000 to invest and wants to use it to purchase two stocks.
    Stock 1 is a solid blue-chip security with a respectable growth potential and little risk
    involved. Stock 2 is much more speculative. It is being touted in two investment newsletters
    as having outstanding growth potential but also is considered very risky. Ann would like a
    large return on her investment but also has considerable aversion to risk. Therefore, she has
    instructed Richard to analyze what mix of investments in the two stocks would be
    appropriate
    for her. Ann is used to talking in units of thousands of dollars and 1,000-share blocks of
    stocks. Using these units, the price per block is 20 for stock 1 and 30 for stock 2. After doing
    some research, Richard has made the following estimates. The expected return per block is
    5 for stock 1 and 10 for stock 2. The variance of the return on each block is 4 for stock 1 and
    100 for stock 2. The covariance of the return on one block each of the two stocks is 5. Without
    yet assigning a specific numerical value to the mínimum acceptable expected return,
    formulate a nonlinear programming model for this problem. (To be continued in Prob. 13.7-
    6.)

    Se debe considerar la siguiente restricción:

    3 𝑑𝑓(𝑥1) 3
    3𝑥1 + 2𝑥2 = 18 → 𝑔(𝑥1) = 𝑥2 = − 𝑥1 + 9 → =−
    2 𝑑𝑥1 2

    Con la siguiente Función Objetivo:


    8
    ( ) ÷ (9𝑥 2 − 126𝑥1 + 857) − 182𝑥2 + 13𝑥 2 = 0 → 𝑓(𝑥1) = 𝑥2
    3,5
    182 − 2√−2860 + 1638𝑥1 − 117𝑥 2 𝑑𝑓 (𝑥1) 3
    = → =−
    26 𝑑𝑥1 2
    Universidad San Francisco de Quito

    8 8
    𝑓( ) = 𝑔( ) = 5
    3 3

    Por lo que la solución que optimizará la función objetivo será: 𝑥1 = 8; 𝑥2 = 3.5

    Como se puede apreciar en la gráfica no es una región


    factible convexa.
    Universidad San Francisco de Quito

    b) La región factible es:𝑥12 + 𝑥22 ≥ 2 por lo que se tiene 𝑥1 = −𝑥 2 𝑦 𝑥2 = −𝑥22 son funciones
    cóncavas así que la región no puede ser convexa.

    a) Maximizar: 10𝑦1 + 20𝑡2 + 10𝑡


    Sujeto a:
    - 𝑦1 + 3𝑦2 − 50𝑡 ≤ 0
    - 3𝑦1 + 4𝑦2 − 80𝑡 ≤ 0
    - 3𝑦1 + 4𝑦2 + 20𝑡 = 1
    - 𝑦1, 𝑦2, 𝑡 ≥ 0
    b)
    Universidad San Francisco de Quito

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