Investment Cost Expected Return 2,000 8,000 3,500 10,000 9,300 11,600 4,000 700

Question

Investment Cost Expected Return 2,000 8,000 3,500 10,000 9,300 11,600 4,000 700 940 390 700 820 960 300 Jeannie has a total of 80,000 to invest. The following conditions must be met: (1) If investment C is chosen, then investment D must also be a part of the portfolio and vice versa. (2) at least five investments should be chosen and (3) of investment A and E exactly one must be included. Identify the type of integer programming modeling framework (i.e. 0-1, mixed integer or total integer) that applies to this problem and then formulate the linear programming model for the same. Note: You just need to provide the model. You do not have to solve it using excel solver

Explanation / Answer

this is mixed integer programming

let A be binary variable with A = 1 means if A is invested otherwise not, similarly for B, C ,... G

Maximize

Z = 700A + 940 B + 390 C + 700 D + 820 E + 960 F + 300 G

2000A + 8000B +3500C + 10000D + 9300 E + 11600 F + 4000G <= 80000

C = D  

A+B +C +D + E + F +G >= 5

A + E = 1

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