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CS/ECE/ISyE 524 Homework 9: Introduction to Integer Optimization


    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?



































1 of ??

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