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    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.

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    220-Lecture08

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    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
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    Download as xls, pdf, or txt
    9 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
    Flag for inappropriate content
    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

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