![]() ![]() How do I set the constraints in Solver to take this non-continuous constraint into account? I have no experience with binary constraints but I have heard that might be one solution. Total portfolio weight must (obviously) be 100%. But, it could still be 0% if the optimization says so!Ĥ. If a stock is part of the portfolio, it must be more than 1/2% of the portfolio. We need a 0% constraint because the porftolio is long only, no shorting allowed.ģ. We are trying to optimize the portfolio in Excel using the Solver function but we are having an issue with non-continuous constraints. 0.00) weighting in the portfolio or up to a maximum of 5% (i.e. Hello, I am part of an academic project team that is putting together a mutual fund. No more than 50 stocks in the portfolio.Ģ. The sample portfolio has 50 stocks to begin with and we are trying to optimize these 50 stocks based on the following constraints:ġ. ![]() a.Hello, I am part of an academic project team that is putting together a mutual fund. The plan will be submitted to the judge and, if ap- proved, Hoxworth will be required to pay a trustee the amount that will be required to fund the plan. Funds not invested in these securities will be placed in savings.Īssume that interest is paid annually. Consider the following example: Model m new Model() IntVar i m.intVar('i', 0, 5) Solver s m.getSolver() (s.findOptimalSolution(i, true)) s. sample investment returns for the three stocks are provided, but the spreadsheet can be easily adapted to other stocks and a larger investment space. this is known as the sharpe optimal portfolio. Hoxworth wants to develop a plan for making the annual payments by investing in the following securities (par value 5 $1000). This excel spreadsheet will calculate the optimum investment weights in a portfolio of three stocks by maximizing the sharpe ratio of the portfolio. Investment of the funds will be limited to savings (at 4% annually) and government securities, at prices and rates currently quoted in The Wall Street Journal. ![]() The judge will approve an amount that, along with earnings on its investment, will cover the annual payments. The annual payments must be made at the beginning of each year. As part of the settlement for a class action lawsuit, Hoxworth Corporation must provide sufficient cash to make the following annual payments (in thousands of dollars). ![]()
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