Investment Portfolio Optimisation Report (1000 words)
Investment Portfolio Optimisation Report (1000 words)
SECTION 1. PRELIMINARY WORK
Introduction
Explain stock (asset) selection
Explain your risk group classificationsInclude relevant summary table(s)/numerical summaries
SECTION 2. OPTIMISATION MODELS
2.1 LP model
Algebraic formulation
Optimal solution
Image of sensitivity report
Interpretation
2.2 ILP model
Conceptual diagram
Algebraic formulation
Optimal solution
Interpretation
2.3 NLP models
2.3 (a) Maximise overall return subject to an upper limit on portfolio risk
Algebraic formulation
Optimal solution
Interpretation
2.3 (b) Minimise portfolio risk subject to a requirement to achieve at least a specified return
Algebraic formulation
Optimal solution
Interpretation
2.3(c) Maximum of risk adjusted return i.e., Sharpe ratioAlgebraic formulation
Optimal solution
Interpretation
OPTIMISATION RESULTS AND RECOMMENDED STRATEGY
Summary table(s) of results for all models.
Preferred strategy
Rationale
