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    Cell Name Original Value

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    Arjuna Reddy
    The solver found a solution that satisfied all constraints and optimality conditions. It took 0.015 seconds to solve using the GRG Nonlinear engine. The optimal portfolio allocation is: 5% money market, 10% gilt-govt securities, 25% corporate bonds-short term, 20% corporate bonds-medium term, 10% large cap equity, 25% index fund, 5% commodities. This allocation achieves a maximum return of 11.03% with the given constraints.

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    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd

    Cell Name Original Value

    Uploaded by

    Arjuna Reddy
    24 views8 pages
    The solver found a solution that satisfied all constraints and optimality conditions. It took 0.015 seconds to solve using the GRG Nonlinear engine. The optimal portfolio allocation is: 5% money market, 10% gilt-govt securities, 25% corporate bonds-short term, 20% corporate bonds-medium term, 10% large cap equity, 25% index fund, 5% commodities. This allocation achieves a maximum return of 11.03% with the given constraints.

    Original Description:

    using solver with example

    Original Title

    Solver

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    © © All Rights Reserved

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    The solver found a solution that satisfied all constraints and optimality conditions. It took 0.015 seconds to solve using the GRG Nonlinear engine. The optimal portfolio allocation is: 5% money market, 10% gilt-govt securities, 25% corporate bonds-short term, 20% corporate bonds-medium term, 10% large cap equity, 25% index fund, 5% commodities. This allocation achieves a maximum return of 11.03% with the given constraints.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    24 views8 pages

    Cell Name Original Value

    Uploaded by

    Arjuna Reddy
    The solver found a solution that satisfied all constraints and optimality conditions. It took 0.015 seconds to solve using the GRG Nonlinear engine. The optimal portfolio allocation is: 5% money market, 10% gilt-govt securities, 25% corporate bonds-short term, 20% corporate bonds-medium term, 10% large cap equity, 25% index fund, 5% commodities. This allocation achieves a maximum return of 11.03% with the given constraints.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    of 8

    Microsoft Excel 15.

    0 Answer Report
    Worksheet: [Solver.xlsx]Sheet1
    Report Created: 17-02-2015 15:20:53
    Result: Solver found a solution. All Constraints and optimality conditions are satisfied.
    Solver Engine
    Engine: GRG Nonlinear
    Solution Time: 0.015 Seconds.
    Iterations: 0 Subproblems: 0
    Solver Options
    Max Time Unlimited, Iterations Unlimited, Precision 0.000001
    Convergence 0.0001, Population Size 100, Random Seed 0, Derivatives Central
    Max Subproblems Unlimited, Max Integer Sols Unlimited, Integer Tolerance 1%, Solve Without Integ
    Objective Cell (Max)
    Cell
    $N$12

    Variable Cells
    Cell
    $E$4
    $E$5
    $E$6
    $E$7
    $E$8
    $E$9
    $E$10

    Name

    Original Value
    11.03%

    Name

    Original Value
    5%
    10%
    25%
    20%
    10%
    25%
    5%

    Money Market
    Gilt - Govt Securities
    Corporate Bonds - Short Term
    Corporate Bonds - Medium Term
    Large Cap Equity
    Index Fund
    Commodities

    Constraints
    Cell
    $E$10
    $E$10
    $E$4
    $E$4
    $E$5
    $E$5
    $E$6
    $E$6
    $E$7
    $E$7
    $E$8
    $E$8
    $E$9
    $E$9

    Name
    Commodities
    Commodities
    Money Market
    Money Market
    Gilt - Govt Securities
    Gilt - Govt Securities
    Corporate Bonds - Short Term
    Corporate Bonds - Short Term
    Corporate Bonds - Medium Term
    Corporate Bonds - Medium Term
    Large Cap Equity
    Large Cap Equity
    Index Fund
    Index Fund

    Cell Value
    5%
    5%
    5%
    5%
    10%
    10%
    25%
    25%
    20%
    20%
    10%
    10%
    25%
    25%

    $E$4:$E$10=Integer

    onditions are satisfied.

    es Central
    rance 1%, Solve Without Integer Constraints, Assume NonNegative

    Final Value
    11.03%

    Final Value
    Integer
    5% Integer
    10% Integer
    25% Integer
    20% Integer
    10% Integer
    25% Integer
    5% Integer

    Formula
    Status
    $E$10<=0.05 Binding
    $E$10>=0
    Not Binding
    $E$4<=0.05 Binding
    $E$4>=0
    Not Binding
    $E$5<=0.1
    Binding
    $E$5>=0
    Not Binding
    $E$6<=0.25 Binding
    $E$6>=0.1
    Not Binding
    $E$7<=0.2
    Binding
    $E$7>=0.1
    Not Binding
    $E$8<=0.1
    Binding
    $E$8>=0
    Not Binding
    $E$9<=0.25 Binding
    $E$9>=0.1
    Not Binding

    Slack
    0
    5%
    0
    5%
    0
    10%
    0
    15%
    0
    10%
    0
    10%
    0
    15%

    Microsoft Excel 15.0 Sensitivity Report


    Worksheet: [Solver.xlsx]Sheet1
    Report Created: 17-02-2015 15:20:53

    Variable Cells
    Cell
    $E$4
    $E$5
    $E$6
    $E$7
    $E$8
    $E$9
    $E$10

    Name
    Money Market
    Gilt - Govt Securities
    Corporate Bonds - Short Term
    Corporate Bonds - Medium Term
    Large Cap Equity
    Index Fund
    Commodities

    Constraints
    NONE

    Final
    Value
    0.05
    0.1
    0.25
    0.2
    0.1
    0.25
    0.05

    Reduced
    Gradient
    0.0850000009
    0.1199999973
    0.0900000036
    0.1000000015
    0.1400000006
    0.1299999952
    0.1000000015

    Money Market
    Gilt - Govt Securities
    Corporate Bonds - Short Term
    Corporate Bonds - Medium Term
    Large Cap Equity
    Index Fund
    Commodities

    5%
    10%
    25%
    20%
    10%
    25%
    5%

    30000 Risk
    Return
    1,500.00
    1%
    8.50%
    3,000.00
    6%
    12%
    7,500.00
    12%
    9%
    6,000.00
    8%
    10%
    3,000.00
    10%
    14%
    7,500.00
    12%
    13%
    1,500.00
    8%
    10%

    100%

    Money Market
    Gilt - Govt Securities
    Corporate Bonds - Short Term
    Corporate Bonds - Medium Term
    Large Cap Equity
    Index Fund
    Commodities

    5%
    10%
    25%
    20%
    10%
    25%
    5%
    100%

    30000 Risk
    Return
    1,500.00
    1%
    8.50%
    3,000.00
    5%
    12%
    7,500.00
    2%
    9%
    6,000.00
    4%
    10%
    3,000.00
    10%
    14%
    7,500.00
    12%
    13%
    1,500.00
    8%
    10%

    Risk
    15.00
    180.00
    900.00
    480.00
    300.00
    900.00
    120.00

    Return
    127.50
    360.00
    675.00
    600.00
    420.00
    975.00
    150.00

    2,895.00 3,307.50
    9.65%
    11.03%

    Risk
    15.00
    150.00
    150.00
    240.00
    300.00
    900.00
    120.00

    Return
    127.50
    360.00
    675.00
    600.00
    420.00
    975.00
    150.00

    1,875.00 3,307.50
    6.25%
    11.03%

    0.05%
    0.60%
    3.00%
    1.60%
    1.00%
    3.00%
    0.40%

    0.43%
    1.20%
    2.25%
    2.00%
    1.40%
    3.25%
    0.50%

    9.65%

    11.03%

    0.05%
    0.50%
    0.50%
    0.80%
    1.00%
    3.00%
    0.40%

    0.43%
    1.20%
    2.25%
    2.00%
    1.40%
    3.25%
    0.50%

    6.25%

    11.03%

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