Homework 9: Introduction to Integer Optimization

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ABC Investments. ABC Inc. is considering several investment options. Each option has a minimum and maximum investment allowed (only if the option is chosen). These restrictions, along with the expected return are summarized in the following table ( gures are in millions of dollars): Option Minimum Maximum Expected investment investment return (%) 1 3 27…

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  1. ABC Investments. ABC Inc. is considering several investment options. Each option has a minimum and maximum investment allowed (only if the option is chosen). These restrictions, along with the expected return are summarized in the following table ( gures are in millions of dollars):

Option

Minimum

Maximum

Expected

investment

investment

return (%)

1

3

27

13

2

2

12

9

3

9

35

17

4

5

15

10

5

12

46

22

6

4

18

12

Because of the high-risk nature of Option 5, company policy requires that the total amount invested in Option 5 be no more that the combined amount invested in Options 2, 4 and 6. In addition, if an investment is made in Option 3, it is required that at least a minimum investment be made in Option 6. ABC has $80 million to invest and obviously wants to maximize its total expected return on investment. Which options should ABC invest in, and how much should be invested?

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Homework 9: Introduction to Integer Optimization
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