$title Simple Portfolio Model (PORT,SEQ=50) $onText This simple portfolio selection model examines investment alternatives in the bond market. The selection is constrained by rating and maturity considerations. CDC, IFPS/OPTIMIM - Users Manual, Control Data Corporation, Minneapolis, 1984. Keywords: linear programming, portfolio optimization, investment planning, finance $offText Set b 'bonds' / municip-a, municip-b, corporate, us-ser-e, us-ser-f / g(b) 'grouping' / corporate, us-ser-e, us-ser-f /; Table ydat(b,*) 'yield data' rating maturity yield tax-rate municip-a 2 9 4.3 municip-b 5 2 4.5 corporate 2 15 5.4 .5 us-ser-e 1 4 5.0 .5 us-ser-f 1 3 4.4 .5; Variable investment(b) tinvest 'total investment' return; Positive Variable investment; Equation groupmin 'minimum investment in group g' rdef 'rating definition' mdef 'maturity definition' idef 'total return definition' tdef 'total investment definition'; groupmin.. sum(g, investment(g)) =g= 4; rdef.. sum(b, ydat(b,"rating ")*investment(b)) =l= 1.4*tinvest; mdef.. sum(b, ydat(b,"maturity")*investment(b)) =l= 5.0*tinvest; tdef.. tinvest =e= sum(b, investment(b)); idef.. return =e= sum(b, ydat(b,"yield")/100*(1-ydat(b,"tax-rate"))*investment(b)); tinvest.up = 10; Model port / all /; solve port maximizing return using lp;