modeling optimization 2013
TRANSCRIPT
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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
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, 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
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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
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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%
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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%
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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
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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
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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
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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
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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
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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
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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
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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
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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%
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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
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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
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Column 7 Column 8
0.010738
0.00119 0.006038
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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
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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
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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
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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
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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
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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
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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.
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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
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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)
Sensitivity of $B$19 to Input
When you select an output from the
dropdown list in cell $K$4, the chart will
adapt to that output.
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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
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Sensitivity of $B$19 to Input
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)
Sensitivity of $B$19 to Input
When you select an output from the
dropdown list in cell $K$4, the chart will
adapt to that output.
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