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Cell Name Original Value Final Value

The document is a report generated by Microsoft Excel that summarizes the results of using Solver to optimize an investment portfolio allocation problem. It provides details on the variables, objective function, constraints, and results of the optimization. The optimal allocation was found after 7101 seconds of solving time and allocated funds across 6 investment products to maximize expected returns of 0.171 while satisfying the budget and other constraints.

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0% found this document useful (0 votes)
30 views

Cell Name Original Value Final Value

The document is a report generated by Microsoft Excel that summarizes the results of using Solver to optimize an investment portfolio allocation problem. It provides details on the variables, objective function, constraints, and results of the optimization. The optimal allocation was found after 7101 seconds of solving time and allocated funds across 6 investment products to maximize expected returns of 0.171 while satisfying the budget and other constraints.

Uploaded by

ishani
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
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Microsoft Excel 16.

55 Answer Report
Worksheet: [OS assignments.xlsx]Problem 1
Report Created: 21/11/21 3:05:17 PM
Result: Solver found a solution. All constraints and optimality conditions are satisfied.
Solver Engine
Engine: Simplex LP
Solution Time: 7101.329 Seconds.
Iterations: 8 Subproblems: 0
Solver Options
Max Time Unlimited, Iterations Unlimited, Precision 0.000001, Use Automatic Scaling
Max Subproblems Unlimited, Max Integer Sols Unlimited, Integer Tolerance 1%, Assume NonNegative

Objective Cell (Max)


Cell Name Original Value Final Value
$I$16 Returns Expected returns 0.206 0.171

Variable Cells
Cell Name Original Value Final Value
$C$12 Product X1 13884.30 4242.42
$D$12 Product X2 5614.97 6862.75
$E$12 Product X3 2213.44 6086.96
$F$12 Product X4 9259.26 18518.52
$G$12 Product X5 12820.51 6410.26
$H$12 Product X6 5000.00 5000.00

Constraints
Cell Name Cell Value Formula
$I$19 Total Investment LHS 2000000 $I$19=$K$19
$I$20 High risk fund - lower limit LHS 1400000 $I$20>=$K$20
$I$21 High risk fund - upper limit LHS 1400000 $I$21<=$K$21
$I$22 Med risk fund lower limit LHS 500000 $I$22>=$K$22
$I$23 Med Risk fund upper limit LHS 500000 $I$23<=$K$23
$I$24 Low risk fund lower limit LHS 100000 $I$24>=$K$24
$I$25 High risk fund 1 and fund 2 ratio constraint LHS -5.820766E-11 $I$25=$K$25
$I$26 High risk fund 2 and fund 3 ratio constraint LHS -2.328306E-10 $I$26=$K$26
$I$27 Med risk fund 4 and fund 5 ratio constraint LHS 0 $I$27=$K$27
%, Assume NonNegative

Integer
Contin
Contin
Contin
Contin
Contin
Contin

Status Slack
Binding 0
Not Binding 400000
Binding 0
Not Binding 100000
Not Binding 200000
Binding 0
Binding 0
Binding 0
Binding 0
Microsoft Excel 16.55 Sensitivity Report
Worksheet: [OS assignments.xlsx]Problem 1
Report Created: 21/11/21 3:05:18 PM

Variable Cells
Final Reduced
Cell Name Value Cost
$C$12 Product X1 4242.42424242 0
$D$12 Product X2 6862.74509804 0
$E$12 Product X3 6086.95652174 0
$F$12 Product X4 18518.5185185 0
$G$12 Product X5 6410.25641026 0
$H$12 Product X6 5000 0

Constraints
Final Shadow
Cell Name Value Price
$I$19 Total Investment LHS 2000000 5.6666667E-08
$I$20 High risk fund - lower limit LHS 1400000 0
$I$21 High risk fund - upper limit LHS 1400000 4.25E-08
$I$22 Med risk fund lower limit LHS 500000 0
$I$23 Med Risk fund upper limit LHS 500000 0
$I$24 Low risk fund lower limit LHS 100000 -1.666667E-08
$I$25 High risk fund 1 and fund 2 ratio constraint LHS -5.820766E-11 2.5416667E-08
$I$26 High risk fund 2 and fund 3 ratio constraint LHS -2.328306E-10 1.2083333E-08
$I$27 Med risk fund 4 and fund 5 ratio constraint LHS 0 3.3333333E-09
Objective Allowable Allowable
Coefficient Increase Decrease
8.25E-06 1E+030 1.4025E-05
7.48E-06 1E+030 8.67E-06
8.625E-06 1E+030 9.775E-06
1.08E-06 1.1475E-06 4.5E-07
1.3E-06 3.315E-06 1.3E-06
8E-07 3.333333E-07 1E+030

Constraint Allowable Allowable


R.H. Side Increase Decrease
2000000 200000 100000
1000000 400000 1E+030
1400000 100000 200000
400000 100000 1E+030
700000 1E+030 200000
100000 100000 100000
0 2800000 560000
0 2800000 2800000
0 500000 1000000
Microsoft Excel 16.55 Limits Report
Worksheet: [OS assignments.xlsx]Problem 1
Report Created: 21/11/21 3:05:18 PM

Objective
Cell Name Value
$I$16 Returns Expected returns 0.171

Variable Lower Objective Upper Objective


Cell Name Value Limit Result Limit Result
$C$12 Product X1 4242.42 0.00 85.000 250.00 18835.000
$D$12 Product X2 6862.75 0.00 110.000 398.50 20035.000
$E$12 Product X3 6086.96 0.00 125.000 597.00 21020.000
$F$12 Product X4 18518.52
$G$12 Product X5 6410.26
$H$12 Product X6 5000.00
Portfolio Managemen
Definition of Decision Variables

X1 = number of shares of Mutual Fund 1


X2 = number of shares of Mutual Fund 2
X3 = number of shares of Mutual Fund 3
X4 = number of shares of Mutual Fund 4
X5 = number of shares of Mutual Fund 5
X6 = number of shares of Mutual Fund 6

Decision Variables X1 X2 X3
Number of Shares 4242.42 6862.75 6086.96
Weights for each share 0.12 0.23 0.35

Objective Function
Expected Returns 0.3 0.22 0.15

Constraints
Total Investment 55 68 115
High risk fund - lower limit 55 68 115
High risk fund - upper limit 55 68 115
Med risk fund lower limit 0 0 0
Med Risk fund upper limit 0 0 0
Low risk fund lower limit 0 0 0
High risk fund 1 and fund 2 ratio constraint 110 -68 0
High risk fund 2 and fund 3 ratio constraint 0 204 -230
Med risk fund 4 and fund 5 ratio constraint 0 0 0
olio Management

X4 X5 X6 Total number of shares


18518.52 6410.26 5000.00 47120.90
0.17 0.08 0.05

Expected returns <= Maximise


0.12 0.1 0.08 0.171

LHS Type RHS


18 26 20 2000000 = 2000000
0 0 0 1400000 >= 1000000
0 0 0 1400000 <= 1400000
18 26 0 500000 >= 400000
18 26 0 500000 <= 700000
0 0 20 100000 >= 100000
0 0 0 -2.91038304567337E-10 = 0
0 0 0 -2.3283064365387E-10 = 0
18 -52 0 0 = 0
Units
Dollars
Dollars
Dollars
Dollars
Dollars
Dollars
Dollars
Dollars
Dollars
Microsoft Excel 16.55 Answer Report
Worksheet: [OS assignments.xlsx]Problem 3
Report Created: 21/11/21 3:23:19 PM
Result: Solver found a solution. All constraints and optimality conditions are satisfied.
Solver Engine
Engine: Simplex LP
Solution Time: 3771.689 Seconds.
Iterations: 3 Subproblems: 0
Solver Options
Max Time Unlimited, Iterations Unlimited, Precision 1E-06, Use Automatic Scaling
Max Subproblems Unlimited, Max Integer Sols Unlimited, Integer Tolerance 1%, Assume NonNegative

Objective Cell (Max)


Cell Name Original Value Final Value
$F$13 Profit per product Total Profit 0 2016

Variable Cells
Cell Name Original Value Final Value Integer
$C$10 Quantity A 0 112 Contin
$D$10 Quantity B 0 0 Contin
$E$10 Quantity C 0 48 Contin

Constraints
Cell Name Cell Value Formula Status Slack
$F$16 Material 1 LHS 720 $F$16<=$H$16 Binding 0
$F$17 Material 2 LHS 368 $F$17<=$H$17 Not Binding 232
$F$18 Material 3 LHS 640 $F$18<=$H$18 Binding 0
ssume NonNegative
Microsoft Excel 16.55 Sensitivity Report
Worksheet: [OS assignments.xlsx]Problem 3
Report Created: 21/11/21 3:23:20 PM

Variable Cells
Final Reduced Objective Allowable Allowable
Cell Name Value Cost Coefficient Increase Decrease
$C$10 Quantity A 112 0 12 2 2.2857142857
$D$10 Quantity B 0 -3.2 15 3.2 1E+030
$E$10 Quantity C 48 0 14 18 2

Constraints
Final Shadow Constraint Allowable Allowable
Cell Name Value Price R.H. Side Increase Decrease
$F$16 Material 1 LHS 720 0.4 720 560 240
$F$17 Material 2 LHS 368 0 600 1E+030 232
$F$18 Material 3 LHS 640 2.7 640 320 280
Microsoft Excel 16.55 Limits Report
Worksheet: [OS assignments.xlsx]Problem 3
Report Created: 21/11/21 3:23:20 PM

Objective
Cell Name Value
$F$13 Profit per product Total Profit 2016

Variable Lower Objective Upper Objective


Cell Name Value Limit Result Limit Result
$C$10 Quantity A 112 0 85 250 18835
$D$10 Quantity B 0 0 110 398.5 20035
$E$10 Quantity C 48 0 125 597 21020
Stock management
Definition of Decesion parameters

A = Quantity of product A
B = Quantity of product B
C = Quantity of Product C

Decision Variables. A B C
Quantity 112 0 48

Objective function
Profit per product 12 15 14

Constraints
Material 1 3 5 8
Material 2 2 0 3
Material 3 4 6 4
Total Profit
2016

LHS type RHS Unit


720 <= 720 pounds
368 <= 600 pounds
640 <= 640 pounds
Microsoft Excel 16.55 Answer Report
Worksheet: [OS assignments.xlsx]problem 6
Report Created: 21/11/21 4:27:44 PM
Result: Solver found a solution. All constraints and optimality conditions are satisfied.
Solver Engine
Engine: Simplex LP
Solution Time: 8220.378 Seconds.
Iterations: 12 Subproblems: 0
Solver Options
Max Time Unlimited, Iterations Unlimited, Precision 1E-06, Use Automatic Scaling
Max Subproblems Unlimited, Max Integer Sols Unlimited, Integer Tolerance 1%, Assume NonNegative

Objective Cell (Max)


Cell Name Original Value Final Value
$H$28 Cost for each barrel for each component Profit 342 76800

Variable Cells
Cell Name Original Value Final Value
$B$17 Component 1 Super 1 1500
$C$17 Component 1 Premium 2 1200
$D$17 Component 1 Extra 3 1800
$B$18 Component 2 Super 4 900
$C$18 Component 2 Premium 5 1500
$D$18 Component 2 Extra 6 300
$B$19 Component 3 Super 7 600
$C$19 Component 3 Premium 8 300
$D$19 Component 3 Extra 9 900

Constraints
Cell Name Cell Value Formula
$E$32 Grade -Super - comp1 constraint LHS 1500 $E$32>=$G$32
$E$33 Grade -Super - comp2 constraint LHS 900 $E$33<=$G$33
$E$34 Grade -premium - comp1 constraint LHS 1200 $E$34>=$G$34
$E$35 Grade -premium - comp3 constraint LHS 300 $E$35<=$G$35
$E$36 Grade -extra -comp1 constraint LHS 1800 $E$36>=$G$36
$E$37 Grade -extra -comp2 constraint LHS 300 $E$37>=$G$37
$E$38 Comp 1 max constraint LHS 4500 $E$38<=$G$38
$E$39 Comp 2 max constraint LHS 2700 $E$39<=$G$39
$E$40 Comp 3 max constraint LHS 1800 $E$40<=$G$40
$E$41 Minimum grade super constraint LHS 3000 $E$41>=$G$41
$E$42 Minimum grade premium constraint LHS 3000 $E$42>=$G$42
$E$43 Minimum grade extras constraint LHS 3000 $E$43>=$G$43
Assume NonNegative

Integer
Contin
Contin
Contin
Contin
Contin
Contin
Contin
Contin
Contin

Status Slack
Binding 0
Binding 0
Binding 0
Not Binding 450
Binding 0
Binding 0
Binding 0
Binding 0
Not Binding 1700
Binding 0
Binding 0
Binding 0
Microsoft Excel 16.55 Sensitivity Report
Worksheet: [OS assignments.xlsx]problem 6
Report Created: 21/11/21 4:27:44 PM

Variable Cells
Final Reduced Objective
Cell Name Value Cost Coefficient
$B$17 Component 1 Super 1500 0 11
$C$17 Component 1 Premium 1200 0 8
$D$17 Component 1 Extra 1800 0 6
$B$18 Component 2 Super 900 0 13
$C$18 Component 2 Premium 1500 0 10
$D$18 Component 2 Extra 300 0 8
$B$19 Component 3 Super 600 0 9
$C$19 Component 3 Premium 300 0 6
$D$19 Component 3 Extra 900 0 4

Constraints
Final Shadow Constraint
Cell Name Value Price R.H. Side
$E$32 Grade -Super - comp1 constraint LHS 1500 -18 0
$E$33 Grade -Super - comp2 constraint LHS 900 0 0
$E$34 Grade -premium - comp1 constraint LHS 1200 -18 0
$E$35 Grade -premium - comp3 constraint LHS 300 0 0
$E$36 Grade -extra -comp1 constraint LHS 1800 -18 0
$E$37 Grade -extra -comp2 constraint LHS 300 -3.552714E-15 0
$E$38 Comp 1 max constraint LHS 4500 20 4500
$E$39 Comp 2 max constraint LHS 2700 4 2700
$E$40 Comp 3 max constraint LHS 1800 0 3500
$E$41 Minimum grade super constraint LHS 3000 0 3000
$E$42 Minimum grade premium constraint LHS 3000 -1.2 3000
$E$43 Minimum grade extras constraint LHS 3000 -6.8 3000
Allowable Allowable
Increase Decrease
1E+030 3
3 1E+030
11.333333333 1E+030
1E+030 0
0 3.552714E-15
3.552714E-15 1E+030
0 7.5
3.552714E-15 0
22.666666667 3.552714E-15

Allowable Allowable
Increase Decrease
5.684342E-14 750
450 300
5.684342E-14 281.25
1E+030 450
5.684342E-14 750
450 300
750 5.684342E-14
300 450
1E+030 1700
1.136868E-13 1E+030
1.421085E-13 833.33333333
9.473903E-14 1730.7692308
Microsoft Excel 16.55 Limits Report
Worksheet: [OS assignments.xlsx]problem 6
Report Created: 21/11/21 4:27:44 PM

Objective
Cell Name Value
$H$28 Cost for each barrel for each component Profit 76800

Variable Lower Objective Upper


Cell Name Value Limit Result Limit
$B$17 Component 1 Super 1500 0 85 250
$C$17 Component 1 Premium 1200 0 110 398.5
$D$17 Component 1 Extra 1800 0 125 597
$B$18 Component 2 Super 900
$C$18 Component 2 Premium 1500
$D$18 Component 2 Extra 300
$B$19 Component 3 Super 600
$C$19 Component 3 Premium 300
$D$19 Component 3 Extra 900
Objective
Result
18835
20035
21020
Petroleum Company
Definition of the Decision variable

X11 = Component 1 for super


X12 = Component 1 for premium
X13 = Component 1 for extras
X21 = Component 2 for super
X22 = Component 2 for premium
X23 = Component 2 for extras
X31 = Compoenet 3 for super
X32 = Component 3 for premium
X33 = Component 3 for extras

Decision Variable
Super Premium Extra Total
Component 1 1500 1200 1800 4500
Component 2 900 1500 300 2700
Component 3 600 300 900 1800
Total Barrel of three grade 3000 3000 3000
>= >= >=
Minimum barrel needed for each grade 3000 3000 3000

Objective Function
Total Revenue
Revenue for each barrel of these grades 23 20 18 183000
Cost for each barrel for each component 12 10 14

Constraints LHS
Grade -Super - comp1 constraint 1 0 0 1500
Grade -Super - comp2 constraint 1 0 0 900
Grade -premium - comp1 constraint 0 1 0 1200
Grade -premium - comp3 constraint 0 1 0 300
Grade -extra -comp1 constraint 0 0 1 1800
Grade -extra -comp2 constraint 0 0 1 300
Comp 1 max constraint 1 1 1 4500
Comp 2 max constraint 1 1 1 2700
Comp 3 max constraint 1 1 1 1800
Minimum grade super constraint 1 0 0 3000
Minimum grade premium constraint 0 1 0 3000
Minimum grade extras constraint 0 0 1 3000
Company

<= 4500
<= 2700
<= 3500

Total Cost Profit

106200 76800 <= Maximise

type RHS unit


>= 1500
<= 900
>= 1200
<= 750
>= 1800
>= 300
<= 4500
<= 2700
<= 3500
>= 3000
>= 3000
>= 3000

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