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    Anoop Patsariya
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    This document is a sensitivity report from a Microsoft Excel worksheet that analyzed an investment portfolio optimization problem. It provides details on the adjustable cells/variables and constraints in the optimization model, including names, values, coefficients, and allowable increases/decreases. The conclusion states that the shadow price of 0.069 for the total investment constraint indicates the optimal solution value could be increased by $0.069 if an additional dollar was available for investment. The optimal values provide the fraction of funds that should be invested in each asset.

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    This document is a sensitivity report from a Microsoft Excel worksheet that analyzed an investment portfolio optimization problem. It provides details on the adjustable cells/variables and constraints in the optimization model, including names, values, coefficients, and allowable increases/decreases. The conclusion states that the shadow price of 0.069 for the total investment constraint indicates the optimal solution value could be increased by $0.069 if an additional dollar was available for investment. The optimal values provide the fraction of funds that should be invested in each asset.

    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
    26 views3 pages

    Portfolio Selection

    Uploaded by

    Anoop Patsariya
    This document is a sensitivity report from a Microsoft Excel worksheet that analyzed an investment portfolio optimization problem. It provides details on the adjustable cells/variables and constraints in the optimization model, including names, values, coefficients, and allowable increases/decreases. The conclusion states that the shadow price of 0.069 for the total investment constraint indicates the optimal solution value could be increased by $0.069 if an additional dollar was available for investment. The optimal values provide the fraction of funds that should be invested in each asset.

    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

    Microsoft Excel 12.

    0 Sensitivity Report
    Worksheet: [Book1]Sheet1
    Report Created: 5/16/2012 9:51:45 AM

    Adjustable Cells
    Cell
    $C$4
    $D$4
    $E$4
    $F$4
    $G$4

    Name
    AO
    PO
    MS
    HS
    GB

    Final
    Reduced
    Objective
    Allowable
    Allowable
    Value
    Cost
    Coefficient
    Increase
    Decrease
    20000
    0
    0.073
    0.03
    0.055
    30000
    0
    0.103
    1E+30
    0.03
    0 -0.011000066 0.06399996 0.011000066
    1E+30
    40000
    0
    0.075
    0.0275 0.011000062
    10000
    0
    0.045
    0.03
    0.345

    Constraints
    Cell
    $I$8
    $I$9
    $I$10
    $I$11
    $I$12

    Name
    total investment
    oil
    steel
    SL
    risk

    Final
    Value
    100000
    50000
    40000
    0
    0

    Shadow
    Constraint
    Price
    R.H. Side
    0.069
    100000
    0.022
    50000
    0
    50000
    -0.024
    0
    0.03
    0

    Allowable
    Increase
    12500
    50000
    1E+30
    50000
    20000

    Allowable
    Decrease
    50000
    12500
    10000
    12500
    30000

    page 161 portfolio selection

    AO

    PO

    MS

    HS

    20000

    30000

    40000

    0.073

    0.103

    0.064

    0.075

    total investment
    1
    oil
    1
    steel
    SL
    risk
    -0.6

    1
    1

    1
    -0.25

    1
    -0.25

    total return

    0.4

    conclusion:

    The dual price of 0.069 for constraint 1 shows that value of the opti
    0.069 if one more dollar can be made available for portfolio investm
    The optimum values will give the fraction of funds that should be in

    portfolio selection

    GB
    10000
    0.045

    8000

    100000
    50000
    40000
    0
    -8.7E-11

    leq
    leq
    leq
    geq
    leq

    100000
    50000
    50000
    0
    0

    aint 1 shows that value of the optimal solution can be increased by


    ade available for portfolio investment.
    raction of funds that should be investment for a portfolio of any size.

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