Introduction to Management Science 12th Edition by Bernard Taylor

تمرين 13

In the investment portfolio selection model in this chapter, what if Jessica Todd decided that she wanted to maximize her return while incurring a portfolio variance of no more than 0.020 Analyze this scenario by using the Excel spreadsheet in Exhibit to determine what Jessica's portfolio and return would be.
Exhibit

The Solver Parameters window is shown in Exhibit 1. Notice that nonnegativity constraints for the variables are included-by clicking on "Options." The model solution is shown in Exhibit 2. It indicates that Jessica should invest 36.0% of her funds in Altacam ( x 1 ), 27.2% in Bestco ( x 2 ), 31.5% in Com.com ( x 3 ), and 5.3% in Delphi ( x 4 ). This will result in her desired minimum portfolio annual return of.11 and a variance of.0104. What does this variance
Exhibit 1

Exhibit 2

mean A variance of.0104 equals a standard deviation of.102. If returns are normally distributed (which is likely), then there is a.95 probability that the annual portfolio return will be between -.0899 [.11 - (1.96) (.102)] and.3099 [.11 + (1.96) (.102)].