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LP formulation - Investment/Finance Problem

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Nov 15, 2015
4:59

A Linear Programming formulation of an Investment/Portfolio selection Problem: No single investment alternative should account for more than 40% of budget. Amount invested in Gold and Real Estate combined must be at least twice that invested in Petroleum. The risk associated with Stocks should not exceed twice the risk associated with Real Estate. Investment in real estate should exceed investment in Stocks by no more than $1M. Average risk factor should be no more than 5.

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LP formulation - Investment/Finance Problem | NatokHD