Linear Programming and Its Application Techniques in Optimizing Portfolio Selection of a Firm

Table 2

The simplex method and MATLAB solution in finding the optimal investment in a portfolio mix for the firm.

Basis									Chk.	MATLAB solution ($)
	0.12	0.17	0.17	0.13	0.21	0.10	0.10	0	1.00
Fixed deposit	1	1	1	1	1	1	1	15	22	2,674,300
Treasury bill	0.8	-0.2	-0.2	-0.2	-0.2	0.2	0.2	0	0.4	2,554,800
Crude oil	0.2	-0.8	0.2	0.2	0.2	0.2	0.2	0	0.4	1,974,800
Mortgage	0.2	0.2	-0.8	0.2	0.2	0.2	0.2	0	0.4	813,480
Construction	0.2	0.2	0.2	-0.8	0.2	0.2	0.2	0	0.4	2,407,320
Cash crops	0.2	0.2	0.2	0.2	-0.8	0.2	0.2	0	0.4	2,674,800
Cert. deposit	0.2	0.2	0.2	0.2	0.2	-0.8	0.2	0	0.4	1,900,500
Tot. investment	0.2	0.2	0.2	0.2	0.2	0.2	-0.8	0	0.4
15% investment	0.8	0.2	0.2	0.2	-0.2	-0.2	0.9	0	1.8
20% deposit	0.8	0.2	-0.8	0.2	0.2	-0.8	0.2	0	0.0
25% cash crop	0.8	0.3	-0.8	0.3	0.3	0.8	-0.8	0	0.8
40% treasury and construction	0.6	0.4	-0.6	0.4	-0.6	0.6	0.4	0	1.2
Max. return										2,553,096