{ "cells": [ { "cell_type": "markdown", "source": [ "# March & Sanchis Investments Ltd.\n", "## Problem Definition\n", "Suppose you are a financial advisor at March & Sanchis Investments Ltd. and your client has €1,000,000 to invest in four different types of assets: stocks, bonds, real estate, and crypto assets, with the Expected Returns and risk (an estimation of the risk per euro invested) expressed in the table below:\n", "\n", "| Asset Type\t | Expected Return (%)\t| Risk (%) |\n", "|--------------|----------------------|----------|\n", "| Stocks\t |10\t | 1.25 |\n", "| Bonds |6\t | 0.5 |\n", "| Real Estate |8\t | 0.7 |\n", "| Crypto Assets|15\t | 2.1 |\n", "\n", "Your task is to help the client select the optimal portfolio of investments, maximizing the Expected Return. Assume that the investments are independent and take into account the following constraints:\n", "\n", "- **Budget:** The total investment cannot exceed the budget of the client (€1,000,000)\n", "- **Personal Preferences:** The client wants to invest at least €200,000 in real estate due to personal interests in owning property, and does not want to invest more than €400,000 in crypto assets as she would like to be cautious and limit exposure.\n", "- **Risk:** The overall risk estimation cannot exceed 12% of the expected return\n", "\n", "Model this problem as a continuous linear programming problem. What are the decision variables? What is the objective function? What are the constraints?" ], "metadata": { "collapsed": false } } ], "metadata": { "kernelspec": { "display_name": "Python 3", "language": "python", "name": "python3" }, "language_info": { "codemirror_mode": { "name": "ipython", "version": 2 }, "file_extension": ".py", "mimetype": "text/x-python", "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython2", "version": "2.7.6" } }, "nbformat": 4, "nbformat_minor": 0 }