Modeling Optimization 2013

7/29/2019 Modeling Optimization 2013

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The Monet Company produces four types of picture frame

which differ with respect to size, shape and material used

Each type requires a certain amount of skilled labor, metal

The unit selling price, the availability of skilled labor, metal

The unit cost of skilled labor, metal and glass are given

The market constraints in term of the maximum number of The company wants to maximize its profits

Show how sensitive are the optimal profits and product mi

available and the cost per ounce of metal

Product mix model

Input data

Hourly wage rate $8.00

Cost per oz of metal $0.50

Cost per oz of glass $0.75

Frame type 1 2 3 4

Labor hours per frame 2 1 3 2

Metal (oz.) per frame 4 2 1 2

Glass (oz.) per frame 6 2 1 2

Unit selling price $28.50 $12.50 $29.25 $21.50

Production plan

Frame type 1 2 3 4

Frames produced 885 214 468 307<= <= <= <=

Maximum sales 1000 2000 500 1000

Resource constraints Used Available

Labor hours 4000 <= 4000

Metal (oz.) 5047 <= 6000

Glass (oz.) 6816 <= 10000

Revenue, cost summary

Frame type 1 2 3 4 Totals

Revenue $25,210 $2,669 $13,687 $6,595 $48,162

Costs of inputs

Labor $14,153 $1,708 $11,231 $4,908 $32,000

Metal $1,769 $214 $234 $307 $2,523

Glass $3,981 $320 $351 $460 $5,112

Profit $5,307 $427 $1,872 $920 $8,526

Product Mix Problems



, labelled 1,2,3 and 4

and glass

and glass are given.

frames that can be sold are given

to changes in the labor hours

Under Over Goal Equation Target Penalty

Profit Goal 0 26.48027 $8,500 8500 100000

Frame 3 1 1 500 500 100

Frame 4 1 1.000001 500 500 100

200



W1 W2 W3

D1 150 58 47 108

D2 225 87 46 100D3 100 121 30 57

D4 250 149 66 83

D5 120 62 115 164

D6 150 128 28 38

Total 995

Available

Inventory

400 350 500

W1 W2 W3

Total

transported

D1 150 74 1 1 76

D2 225 112 1 1 114

D3 100 49 1 1 51

D4 250 124 1 1 126

D5 120 59 1 1 61

D6 150 74 1 1 76Total 995 0

Closing

Inventory 492 6 6

Total Cost -92 344 494

52410

Transportation Problem

Destinations Requirement

Cost of Transportation

Ware Houses

Destinations Requirement

Cost of Transportation

Ware Houses



Month Stock A Stock B Returns1 Returns 2 W1 W2

0 25.00 45.00 0.5 0.5

1 24.12 44.85 -0.0352 -0.0033

2 23.37 46.88 -0.0311 0.0453

3 24.75 45.25 0.0591 -0.0348

4 26.62 50.87 0.0756 0.1242

5 26.50 53.25 -0.0045 0.04686 28.00 53.25 0.0566 0.0000

7 28.88 62.75 0.0314 0.1784

8 29.75 65.50 0.0301 0.0438

9 31.38 66.87 0.0548 0.0209

10 36.25 78.50 0.1552 0.1739

11 37.13 78.00 0.0243 -0.0064

12 36.88 68.23 -0.0067 -0.1253

Stock1 Stock2

Average 3.41% 3.86%

Stdev 5.25% 8.69%

Correlation Matrix Covariance Matrix

Stock1 Stock2 Stock1 Stock2

Stock1 1.0000 0.5136 Stock1 0.0028 0.0023

Stock2 0.5136 1.0000 Stock2 0.0023 0.0076

Stock 1 Stock 2

W matrix 0.5 0.5

P rt 3.64%

P var 0.37%

P std 6.12%



Weights 3.64% 6.12%

0.00% 1.93% 4.35%

7.50% 2.19% 4.56%

15.00% 2.44% 4.80%

22.50% 2.70% 5.06%

30.00% 2.96% 5.33%

37.50% 3.21% 5.62%45.00% 3.47% 5.92%

52.50% 3.72% 6.23%

60.00% 3.98% 6.55%

67.50% 4.23% 6.87%

75.00% 4.49% 7.21%

82.50% 4.75% 7.55%

90.00% 5.00% 7.89%

97.50% 5.26% 8.24%



Portfolio selection model

Stock input data

Stock 1 Stock 2 Stock 3

Mean return 0.14 0.11 0.1

StDev of return 0.2 0.15 0.08

Correlations Stock 1 Stock 2 Stock 3

Stock 1 1 0.6 0.4

Stock 2 0.6 1 0.7

Stock 3 0.4 0.7 1

Investment decisions

Stock 1 Stock 2 Stock 3 Total

Fractions to invest 0.50 0 0.500004 1.000001 =

Constraint on expected portfolio return

Actual Required

0.1200 >= 0.12

Portfolio variance 0.0148

Portfolio stdev 0.1217



Covariances Stock 1 Stock 2 Stock 3

Stock 1 0.0400 0.0180 0.0064

Stock 2 0.0180 0.0225 0.0084

Stock 3 0.0064 0.0084 0.0064

Required

1

Range names used:MeanReturns - B5:D5LTable - B4:D6

CovarMat - H9:J11Invested - B15:D15TotInvested - E15ExpReturn - B19ReqdReturn - D19PortVar - B21



Risk & return with three assets

Asset Data St1 St2 St3

Return 0.6% 2.1% 9.0%

Stdev 4.3% 10.1% 20.8%

Correlation Matrix St1 St2 St3

St1 1.00 0.63 0.09

St2 0.63 1.00 0.23

St3 0.09 0.23 1.00

VCV matrix St1 St2 St3

St1

St2

St3

St1 St2 St3

Portfolio weights 40.0% 50.0% 10.0%

Exp Ret Target exp return 7.0%

Variance

Std Dev



Infosys ITC ACC WIPRO MARUTHI SBI RELIANCE HLL

Date Close Close Close Close Close Close Close Close

200604 1589 102 1014 323 924 862 511 288

200605 1454 83 762 270 735 784 477 234

200606 1539 91 784 308 798 686 529 229

200607 1654 84 843 295 787 764 490 232

200608 1809 96 910 311 861 877 559 235200609 1848 94 993 315 981 970 586 256

200610 2095 95 968 323 969 1034 613 234

200611 2180 93 1133 359 925 1240 623 236

200612 2241 88 1086 363 927 1176 635 217

200701 2244 87 1020 368 937 1074 682 208

200702 2078 86 900 337 840 980 677 176

200703 2013 76 735 335 820 937 684 205

200704 2049 80 839 343 803 1043 780 199

200705 1920 82 856 327 818 1276 880 204

200706 1929 77 934 311 743 1439 850 189200707 1977 86 1060 297 843 1533 946 206

200708 1855 85 1066 289 868 1509 980 209

200709 1897 95 1195 276 1000 1841 1148 219

200710 1839 89 1078 303 1074 1951 1391 208

200711 1604 94 1089 276 1012 2170 1425 207

200712 1768 105 1025 315 990 2237 1441 214

200801 1504 98 783 248 849 2162 1240 207

200802 1547 101 793 261 867 2110 1229 227

200803 1430 103 826 255 830 1599 1132 229

200804 1754 110 759 293 742 1776 1307 250200805 1958 109 661 305 765 1443 1201 237

200806 1735 94 523 263 618 1111 1047 206

200807 1583 93 584 250 575 1415 1103 240

200808 1749 94 562 259 650 1404 1068 245

200809 1398 94 612 204 687 1466 973 252

200810 1382 78 493 163 564 1110 685 222

200811 1241 87 406 146 536 1087 566 236

200812 1118 86 478 140 520 1288 615 250

200901 1306 90 505 139 571 1152 663 261

200902 1231 92 540 124 678 1027 633 254200903 1324 92 577 147 775 1067 762 238

200904 1507 94 653 198 816 1278 901 235

200905 1602 92 783 229 1022 1869 1139 231

200906 1777 95 769 227 1065 1742 1012 267

200907 2064 125 881 294 1413 1814 979 291

200908 2132 115 809 330 1437 1743 1002 260

200909 2308 117 819 361 1699 2196 1101 263



200910 2205 127 748 365 1403 2191 966 283

200911 2384 129 797 377 1562 2238 1063 285

200912 2605 125 872 408 1560 2269 1089 265

201001 2477 125 871 388 1390 2058 1047 244

201002 2602 116 923 406 1464 1976 978 236

201003 2615 132 950 424 1416 2079 1075 239

201004 2736 133 906 404 1280 2298 1033 239201005 2658 142 817 401 1237 2268 1045 237

201006 2789 153 875 385 1424 2302 1087 267

201007 2789 154 831 411 1198 2504 1010 251

201008 2707 163 872 400 1256 2765 919 264

201009 3041 178 991 448 1441 3233 986 308

201010 2970 171 984 420 1551 3151 1096 294

201011 3049 172 987 420 1424 2994 987 299

201012 3445 175 1076 490 1421 2811 1058 312

201101 3116 163 988 438 1253 2641 919 271

201102 3003 169 971 438 1207 2632 965 282201103 3237 182 1075 478 1264 2768 1048 285

201104 2906 192 1108 450 1320 2806 982 285

201105 2792 193 1027 447 1228 2298 952 305

201106 2907 203 949 418 1158 2406 898 343

201107 2767 208 1012 390 1208 2342 828 324

201108 2753 205 1006 383 1212 2277 835 323





NIFTY Sensex Infosys ITC ACC WIPRO MARUTHI SBI RELIANCE

3558 12043

3071 10399 -8.48% -18.83% -24.78% -16.54% -20.48% -9.05% -6.70%

3128 10609 5.83% 10.28% 2.83% 14.20% 8.54% -12.47% 11.07%

3143 10744 7.48% -8.22% 7.53% -4.37% -1.39% 11.36% -7.53%

3414 11699 9.37% 14.40% 7.92% 5.41% 9.52% 14.81% 14.16%3588 12454 2.16% -1.98% 9.20% 1.39% 13.91% 10.57% 4.78%

3744 12962 13.36% 1.23% -2.57% 2.49% -1.29% 6.54% 4.71%

3955 13696 4.09% -2.58% 17.03% 11.30% -4.50% 19.95% 1.53%

3966 13787 2.75% -4.86% -4.16% 0.93% 0.26% -5.18% 2.04%

4083 14091 0.18% -0.85% -6.02% 1.38% 1.00% -8.66% 7.42%

3745 12938 -7.40% -1.66% -11.78% -8.49% -10.35% -8.69% -0.73%

3822 13072 -3.16% -11.96% -18.38% -0.45% -2.38% -4.45% 1.02%

4088 13872 1.83% 5.89% 14.18% 2.31% -2.03% 11.32% 14.01%

4296 14544 -6.30% 2.34% 2.00% -4.67% 1.81% 22.36% 12.83%

4318 14651 0.47% -5.56% 9.14% -4.78% -9.12% 12.78% -3.40%4529 15551 2.49% 10.54% 13.51% -4.41% 13.46% 6.50% 11.29%

4464 15319 -6.18% -0.12% 0.56% -2.70% 2.97% -1.54% 3.55%

5021 17291 2.25% 11.12% 12.10% -4.64% 15.13% 21.96% 17.18%

5901 19838 -3.04% -5.74% -9.83% 9.77% 7.40% 6.02% 21.18%

5763 19363 -12.78% 5.29% 1.11% -8.82% -5.70% 11.23% 2.45%

6139 20287 10.25% 11.20% -5.96% 14.19% -2.20% 3.07% 1.06%

5137 17649 -14.96% -6.64% -23.61% -21.36% -14.28% -3.35% -13.94%

5224 17579 2.86% 3.68% 1.28% 5.15% 2.18% -2.43% -0.86%

4735 15644 -7.54% 1.73% 4.21% -2.15% -4.34% -24.21% -7.88%

5166 17287 22.63% 6.61% -8.16% 14.88% -10.57% 11.10% 15.47%4870 16416 11.62% -0.97% -12.92% 3.97% 3.05% -18.75% -8.15%

4041 13462 -11.38% -13.76% -20.91% -13.79% -19.20% -23.00% -12.84%

4333 14356 -8.73% -0.53% 11.83% -5.01% -6.94% 27.29% 5.40%

4360 14565 10.43% 1.02% -3.88% 3.92% 13.13% -0.79% -3.15%

3921 12860 -20.07% -0.34% 8.90% -21.43% 5.65% 4.42% -8.91%

2886 9788 -1.14% -17.49% -19.33% -19.87% -17.86% -24.30% -29.57%

2755 9093 -10.21% 11.88% -17.66% -10.60% -5.07% -2.04% -17.45%

2959 9647 -9.89% -1.09% 17.64% -4.01% -2.94% 18.53% 8.72%

2875 9424 16.79% 4.89% 5.64% -1.05% 9.79% -10.56% 7.72%

2764 8892 -5.68% 1.64% 6.92% -10.28% 18.67% -10.86% -4.54%3021 9709 7.54% 0.98% 6.83% 18.35% 14.39% 3.84% 20.41%

3474 11403 13.84% 2.19% 13.24% 34.68% 5.24% 19.80% 18.35%

4449 14625 6.28% -2.77% 19.91% 15.45% 25.24% 46.29% 26.34%

4291 14494 10.92% 3.87% -1.80% -1.02% 4.30% -6.80% -11.16%

4636 15670 16.15% 30.64% 14.62% 29.92% 32.64% 4.13% -3.27%

4662 15667 3.31% -7.32% -8.24% 12.25% 1.66% -3.91% 2.40%

5084 17127 8.26% 0.91% 1.31% 9.26% 18.25% 25.97% 9.83%

Market Index Monthly Returns



4712 15896 -4.46% 9.33% -8.75% 0.98% -17.42% -0.21% -12.26%

5033 16926 8.10% 0.90% 6.55% 3.50% 11.31% 2.15% 10.06%

5201 17465 9.28% -2.45% 9.40% 8.03% -0.13% 1.40% 2.50%

4882 16358 -4.93% -0.26% -0.09% -4.71% -10.87% -9.32% -3.93%

4922 16430 5.04% -7.16% 5.99% 4.53% 5.28% -3.99% -6.55%

5249 17528 0.52% 13.26% 2.98% 4.45% -3.24% 5.22% 9.88%

5278 17559 4.63% 1.06% -4.66% -4.71% -9.63% 10.53% -3.92%5086 16945 -2.87% 6.52% -9.84% -0.76% -3.34% -1.29% 1.22%

5313 17701 4.93% 7.86% 7.04% -4.05% 15.09% 1.49% 4.00%

5368 17868 0.01% 1.08% -4.92% 6.91% -15.84% 8.76% -7.11%

5402 17971 -2.93% 5.68% 4.85% -2.81% 4.82% 10.43% -8.99%

6030 20069 12.33% 9.29% 13.64% 12.14% 14.73% 16.94% 7.35%

6018 20032 -2.35% -3.98% -0.66% -6.41% 7.65% -2.54% 11.10%

5863 19521 2.69% 0.41% 0.33% 0.14% -8.22% -4.99% -9.95%

6135 20509 12.97% 1.60% 8.93% 16.67% -0.22% -6.11% 7.24%

5506 18328 -9.54% -6.90% -8.13% -10.57% -11.81% -6.05% -13.13%

5333 17823 -3.63% 3.94% -1.73% -0.01% -3.68% -0.34% 4.97%5834 19445 7.78% 7.75% 10.73% 9.10% 4.71% 5.16% 8.59%

5750 19136 -10.22% 5.63% 3.07% -5.86% 4.45% 1.36% -6.28%

5560 18503 -3.93% 0.52% -7.37% -0.80% -6.99% -18.10% -3.08%

5647 18846 4.14% 4.97% -7.53% -6.50% -5.63% 4.71% -5.69%

5482 18197 -4.84% 2.66% 6.62% -6.62% 4.27% -2.66% -7.79%

5457 18110 -0.50% -1.73% -0.60% -1.74% 0.35% -2.78% 0.89%

S1 S2 S3 S4 S5 S6 S7

Average 1.22% 1.39% 0.55% 0.81% 0.99% 2.32% 1.31%

Stdev 9% 8% 10% 11% 11% 13% 10%Ann.ret 15% 17% 7% 10% 12% 28% 16%

Ann.rik 30% 27% 36% 37% 37% 45% 36%

Beta1 0.52 0.38 0.79 0.89 0.79 1.15 1.03

Beta2 0.57 0.38 0.80 0.92 0.79 1.18 1.04

Correlation Matrix

S1 S2 S3 S4 S5 S6 S7

S1

S2

S3

S4

S5

S6

S7

S8

Covariance Matrix

S1 S2 S3 S4 S5 S6 S7



S1 0.007276 0.002184861 0.002667 0.006626 0.003834 0.001961 0.003425

S2 0.002185 0.005988429 0.003465 0.003456 0.003914 0.002486 0.00217

S3 0.002667 0.003464831 0.01083 0.004683 0.006851 0.007791 0.005553

S4 0.006626 0.003455961 0.004683 0.011157 0.006851 0.007791 0.005553

S5 0.003834 0.003914064 0.006851 0.005247 0.011472 0.004439 0.006269

S6 0.001961 0.00248625 0.007791 0.004439 0.004846 0.016474 0.005757

S7 0.003425 0.002169553 0.005553 0.006269 0.005757 0.007703 0.010738S8 0.001487 0.003095454 0.002718 0.001554 0.00282 0.003098 0.00119

S1 S2 S3 S4 S5 S6 S7

Weights 0.257811 0.241068952 0.0054 0 0 0.022772 0.133019

Port returns 0.125508587

Port Risk 0.003422687

std 0.058503736



HLL NIFTY SENSEX

-18.84% -13.68% -13.65%

-1.97% 1.86% 2.03%

1.37% 0.48% 1.27%

1.01% 8.61% 8.89%9.21% 5.11% 6.46%

-8.82% 4.34% 4.07%

0.96% 5.62% 5.67%

-8.18% 0.30% 0.66%

-3.86% 2.93% 2.21%

-15.39% -8.26% -8.18%

16.52% 2.04% 1.04%

-2.85% 6.97% 6.12%

2.06% 5.09% 4.84%

-7.20% 0.52% 0.73%9.27% 4.88% 6.15%

1.09% -1.43% -1.49%

5.15% 12.49% 12.88%

-5.36% 17.51% 14.73%

-0.22% -2.34% -2.39%

3.26% 6.52% 4.77%

-3.46% -16.31% -13.00%

10.10% 1.67% -0.40%

0.59% -9.36% -11.00%

9.09% 9.11% 10.50%-4.95% -5.73% -5.04%

-13.09% -17.03% -17.99%

16.30% 7.24% 6.64%

2.38% 0.62% 1.45%

2.51% -10.06% -11.70%

-11.77% -26.41% -23.89%

6.42% -4.52% -7.10%

5.95% 7.41% 6.10%

4.38% -2.85% -2.31%

-2.83% -3.87% -5.65%-6.15% 9.31% 9.19%

-1.53% 15.00% 17.46%

-1.47% 28.07% 28.26%

15.58% -3.55% -0.90%

9.02% 8.05% 8.12%

-10.77% 0.55% -0.02%

1.15% 9.05% 9.32%



7.65% -7.32% -7.18%

0.81% 6.81% 6.48%

-7.19% 3.35% 3.18%

-7.80% -6.13% -6.34%

-3.42% 0.82% 0.44%

1.25% 6.64% 6.68%

0.13% 0.55% 0.18%-0.94% -3.63% -3.50%

12.73% 4.45% 4.46%

-5.92% 1.04% 0.95%

5.30% 0.65% 0.58%

16.49% 11.62% 11.67%

-4.51% -0.20% -0.18%

1.63% -2.58% -2.55%

4.48% 4.64% 5.06%

-13.18% -10.25% -10.64%

4.04% -3.14% -2.75%0.89% 9.38% 9.10%

0.21% -1.44% -1.59%

6.89% -3.29% -3.31%

12.43% 1.57% 1.85%

-5.49% -2.93% -3.44%

-0.17% -0.46% -0.48%

S8 NIFTY Sensex

0.48% 1.03% 0.99%

8% 9% 8%6% 12% 12%

27% 29% 29%

0.33 1.00 0.98

0.34 1.00 1.00

S8

S8



0.001487

0.003095 Column 1 Column 2 Column 3 Column 4 Column 5 Column 6

0.002718 Column 1 0.007276

0.002718 Column 2 0.002185 0.005988

0.001554 Column 3 0.002667 0.003465 0.01083

0.00282 Column 4 0.006626 0.003456 0.004683 0.011157

0.00119 Column 5 0.003834 0.003914 0.006851 0.005247 0.0114720.006038 Column 6 0.001961 0.002486 0.007791 0.004439 0.004846 0.016474

Column 7 0.003425 0.00217 0.005553 0.006269 0.005757 0.007703

S8 Column 8 0.001487 0.003095 0.002718 0.001554 0.00282 0.003098

0.339929 1







Column 7 Column 8

0.010738

0.00119 0.006038



Company B S E Bank B S E Capit B S E Cons B S E Fmcg B S E Healt B S E Infor B S E Teck ICmie Index

Mar-03 1395.91 928.65 620.96 751.88 1210.18 1412.93 793.09 363.72

Apr-03 1422.13 976.68 634.1 727.17 1222.25 1152.84 683.44 352.08

May-03 1538.65 1098.01 686.19 748.96 1240.58 1019.8 635.64 374.09

Jun-03 1643.25 1208.44 761.32 831.91 1394.6 1060.97 680.74 425.68

Jul-03 1830.71 1300.59 772.32 854.19 1598.14 1160.08 750.9 479.56

Aug-03 1916.72 1403.36 835.32 904.86 1694.44 1216.16 814.89 565.25Sep-03 2022.02 1568.71 883.67 944.88 1928.27 1442.03 934.16 609.17

Oct-03 2334.22 1761.92 956.4 962.83 2005.98 1561.18 1024.99 744.83

Nov-03 2359.99 1886.39 1033.71 953.26 2117.67 1699.09 1097.04 822.55

Dec-03 2587.74 2177.91 1373.67 1061.44 2417.36 1949.39 1219.89 919.88

Jan-04 2950.8 2331.95 1332.52 1126.35 2445.5 2035.25 1301.15 998.85

Feb-04 2928.61 2246.13 1114.4 1054.45 2355.55 1875.89 1234.36 1058.21

Mar-04 2862.65 2230.79 965.81 956.85 2277.72 1766.48 1181.02 1010.6

Apr-04 3134.58 2386.94 1063.23 956.39 2409.24 1839.67 1243.9 1064.52

May-04 2816.36 2089.09 951.97 878.63 2367.29 1790.41 1181.29 960.22

Jun-04 2501.24 1904.37 859.63 829.7 2179.62 1792.4 1176.07 888.82

Jul-04 2465.84 2133.18 963.76 848.95 2206.64 1885.44 1257.1 913.74

Aug-04 2531.85 2250.87 1022.89 837.83 2242.18 1996.61 1317.43 890.72

Sep-04 2657.61 2430.38 1143.75 895.93 2453.6 2145.85 1399.94 900.64

Oct-04 2749.59 2476.38 1224.42 909.8 2572.73 2292.59 1488.05 909.49

Nov-04 3018.06 2562.14 1345.11 957.93 2661.11 2507.55 1612.21 946.42

Dec-04 3522.31 2863.81 1440.29 1052.19 2912.31 2586.56 1698.59 1072.8

Jan-05 3515.18 2860.91 1437.36 1055.58 2736.15 2487.35 1649.45 1064.91

Feb-05 3750.54 3183.79 1527.63 1093.36 2648.68 2612.09 1717.2 1091.08

Mar-05 4000.16 3328.57 1530.24 1066.32 2655.92 2675.94 1739.82 1057.08

Apr-05 3790.09 3285.72 1552.01 1076.6 2499.49 2523.44 1644.99 1006.06

May-05 3725.12 3509.26 1753.55 1127.84 2563.72 2554.64 1677.07 1058.05Jun-05 3941.32 3644.89 1983.17 1220.95 2754.12 2795.37 1816.5 1102.37

Jul-05 4274.24 3909.38 2284.46 1301.19 2904.29 2818.84 1888.36 1191.47

Aug-05 4560.75 4320.98 2418.63 1352.91 2988.73 2888.79 1984.33 1271.93

Sep-05 4859.56 4598.63 2506.57 1478.3 3076.86 3050.81 2103.11 1385.52

Oct-05 4689.27 4673.11 2353.61 1440.68 2921.84 3162.84 2125.57 1427.77

Nov-05 4693.16 5066.1 2708.77 1492.82 2913.97 3333.63 2226.6 1528.22

Dec-05 4961.9 5650.31 3175.19 1605.8 3067.65 3621.97 2389.58 1665.74

Jan-06 5181.19 6200.21 3210.43 1674.71 3220.57 3695.69 2422.95 1741.84

Feb-06 5153.46 7124.86 3151.25 1845.78 3511.34 3688.92 2440.67 1943.91

Mar-06 5259.2 8005.01 3208.46 2071.97 3666.53 3867.06 2588.8 2180.59

Apr-06 5260.17 8597.09 3322.63 2258.59 3917.29 4096.74 2759.27 2262.03May-06 5325.7 8278.37 3334.58 2156.3 3780.48 3903.07 2655.24 2236.96

Jun-06 4396.62 6626.79 2691.92 1796.14 3091.62 3469.52 2325.82 1890.47

Jul-06 4385.24 6812.12 2695.29 1923.37 3117.23 3852.25 2546.85 1904.79

Aug-06 5096.69 7542.37 2936.78 1949.94 3428.34 4158.43 2768.26 2017.28

Sep-06 5587.92 8031.57 3057.94 2030.6 3612.38 4334.59 2929.47 2172.01

Oct-06 6178.57 8388.05 3257.16 2028.29 3637.12 4667.9 3151.57 2258.44

Nov-06 6880.3 8851.21 3267.12 2035.02 3723.67 4964.16 3423.38 2172.64

Dec-06 7006.97 9093.6 3367.42 1969.23 3723.96 5136.06 3564.5 2204.15



Jan-07 7260.02 9281.11 3777.19 1916.14 3848.08 5321.65 3693.07 2318.71

Feb-07 7185.42 9553.66 3831.51 1873.62 3766.6 5378.13 3812.52 2272.39

Mar-07 6441.26 8708.76 3530.06 1683.16 3498.1 4951.5 3521.28 1987.73

Apr-07 6717.26 9463.81 3715.48 1786.05 3708.77 4943.21 3607.34 1925.09

May-07 7284.59 10240.46 3856.09 1858.48 3748.34 4912.75 3698.96 1972.06

Jun-07 7651.32 11342.82 4040.61 1820.74 3792.91 4905.46 3710.11 1876.52

Jul-07 8215.29 12936.02 4206.49 1868.19 3808.61 4902.28 3821.85 2000.53Aug-07 7696.59 12747.15 4118.77 1905.55 3544.07 4575.8 3574.27 1896.84

Sep-07 8381.49 13975.9 4600.06 2081.21 3676.62 4514.31 3617.85 2055.65

Oct-07 9629.84 16922.35 4923.62 2125.13 3824.04 4706.21 3983.92 2269.34

Nov-07 10670.96 19924.88 5185.55 2100.68 3867.18 4221.4 3663.87 2134.13

Dec-07 11196.31 19756.74 6159.62 2214.93 4158.45 4360.27 3850.9 2289.67

Jan-08 11559.26 18416.65 5889.98 2290.99 3987.31 3925.02 3564.97 2106.57

Feb-08 10451.59 16096.97 4803.8 2200.93 3700.96 3894.05 3350.27 1962.12

Mar-08 8268.67 13828.54 3984.04 2203.51 3789.99 3536.71 3008.32 1884.07



Cmie Index Cmie Index Cmie Index Cmie Index:Real Estate

22.39 236.75 75.4 122.03

22.74 231.13 78.41 125.71

26.74 262.56 87.49 131.3

32.86 315.48 98.19 144.96

32.6 306.32 109.19 166.45

32.07 350.06 137.83 193.4233.05 404.28 143.59 201.67

37.84 402.29 158.06 222.46

47.38 413.35 175.97 259.17

69.01 461.77 214.36 364.94

76.78 555.13 230.52 416.92

68.23 493.25 209.71 375.58

62.95 560.06 184.14 320.45

70.78 578.61 190.39 372.07

56.84 507.14 189.6 394.33

49.28 433.9 172.92 369.59

56.29 462.42 188.77 371.54

76.05 477.3 204.1 435.65

86.61 499.01 220.15 535.35

100.99 547.11 239.26 578.41

121.68 552.89 260.77 725.24

144.17 578.76 290.65 870.86

149.47 558.28 294.33 931.04

185.5 580.82 318.66 1221.22

199.73 629.64 352.35 1545.09

181.64 613.74 350.53 1576.22

179.84 618.89 346.49 1976.93184.58 667.07 349.42 2493.75

196.99 674.26 369.22 2767.32

222.25 691.67 416.55 3617.61

243.31 734.13 469.01 4088.36

225.53 712.4 448.86 3603.19

212.38 716.72 467.35 3718.71

211.76 819.06 486.52 4771.55

213.79 896 522.99 5935.36

207.09 863.13 546.15 6368.41

202.76 885.28 631.7 8305.62

213.17 965.18 670.25 11991.47196.82 970.04 643.42 18282.54

159 765.04 489.26 15721.59

152.11 812.77 493.62 17621.84

162.67 882.56 528.69 17895.58

182.2 886.21 560.46 20970.65

191.95 871.77 603.44 27904.7

185 962.73 665.7 34374.24

196.01 953.5 695.09 35669



218.87 1038.77 759.34 35109.82

224.38 1010.86 810.74 31092.54

225.37 927.9 747.39 27004.34

257.61 1020.88 822.33 27037.8

308.58 1047.19 921.06 33320.94

356.22 1030.08 975.86 33472.75

390.21 1048.89 1063.57 37099.06385.89 974.53 1048.86 34528.53

435.52 1037.04 1161.95 38867.25

700.93 1290.79 1557.23 47861.36

946.34 1480.14 2161.47 49662.25

912.29 1561.86 2620.09 57027.01

885.82 1520.75 2429.93 58102.4

845.5 1322.35 2040.01 47296.3

739.54 1320.57 1773.33 36865.7



settlement date 19-Mar-00

Bond # Maturity Face coupon Price Yield Duration Weight

1 15-Jun-15 100 7% 109.884

2 2-Oct-10 100 6.60% 97.049

3 1-Mar-25 100 8% 105.6

4 1-Mar-20 100 6% 112.535 1-Mar-05 100 5% 87.93

Required duration 10



Oneway analysis for Solver model in optimization-1 worksheet

Input (cell $E$33) values along side, output cell(s) along top

$ C $ 2 8

$ D $ 2 8

$ E $ 2 8

$ F $ 2 8

$ G $ 4 4

3500 Stopped

4000 Stopped4500 Stopped

5000 Stopped

5500 1000 0 500 750 Rs.10,250

6000 1000 0 500 750 Rs.10,250

6500 950 0 500 850 Rs.10,250

7000 950 0 500 850 Rs.10,250

7500 950 0 500 850 Rs.10,250

8000 950 0 500 850 Rs.10,250

8500 950 0 500 850 Rs.10,250

9000 950 0 500 850 Rs.10,250



Sensitivity of $C$28 to Input

Data for chart

1 $ C $ 2 8

Stopped

StoppedStopped

Stopped

1000

1000

950

950

950

950

950

950

0

200

400

600

800

1000

1200

3500 4000 4500 5000 5500 6000 6500 7000 7500 8000 8500 9000

Input ($E$33)

Sensitivity of $C$28 to Input

When you select an output from the

dropdown list in cell $K$4, the chart will

adapt to that output.





Oneway analysis for Solver model in portfolio optimization-1 worksheet

Input (cell $D$19) values along side, output cell(s) along top

$ B $ 1 9

$ B $ 2 2

I n v e s t e d_

1

I n v e s t e d_

2

I n v e s t e d_

3

0.09 0.1000 0.0800 0.00 0 1.00

0.11 0.1100 0.0922 0.25 0 0.75

0.13 0.1300 0.1591 0.75 0 0.25

0.15 Not feasible

0.17 Not feasible

0.19 Not feasible



Sensitivity of $B$19 to Input

Data for chart

1 $ B $ 1 9

0.1

0.11

0.13

Not feasible

Not feasible

Not feasible

0

0.02

0.04

0.06

0.08

0.1

0.12

0.14

0.090000004 0.109999999 0.129999995 0.150000006 0.170000002 0.189999998

Input ($D$19)









Oneway analysis for Solver model in portfolio optimization-1 worksheet

Input (cell $D$19) values along side, output cell(s) along top

$ B $ 1 9

$ B $ 2 2

I n v e s t e d_

1

I n v e s t e d_

2

I n v e s t e d_

3

0.09 0.1000 0.0800 0.00 0 1.000001

0.1 0.1000 0.0800 0.00 0 1.000001

0.11 0.1100 0.0922 0.25 0 0.750003

0.12 0.1200 0.1217 0.50 0 0.500003

0.13 0.1300 0.1591 0.75 0 0.250004

0.14 0.1400 0.2000 1.00 0 0

0.15 Not feasible

0.16 Not feasible

0.17 Not feasible

0.18 Not feasible

0.19 Not feasible0.2 Not feasible




Data for chart

1 $ B $ 1 9

0.1

0.1

0.11

0.12

0.13

0.14

Not feasible

Not feasible

Not feasible

Not feasible

Not feasibleNot feasible

0

0.02

0.04

0.06

0.08

0.1

0.12

0.14

0.16

Input ($D$19)







Documents

Modeling Optimization 2013